Sectoral Responses of the Chinese Stock Market to International Oil Shocks
Sectoral Responses of the Chinese Stock Market to International Oil Shocks
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DOI：
10.2753/ree1540-496x490603
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发表时间：
2013-11
影响因子：
4
通讯作者：
Dayong Zhang;H. Cao
中科院分区：
文献类型：
--
作者：
Dayong Zhang;H. Cao
我们研究国际石油冲击与中国股票市场部门动态之间的关系。我们的实证结果表明，中国股票市场对国际石油冲击的行为和反应与文献中所记载的欧洲股票市场的行为和反应显著不同。在中国，当系统性风险因素得到控制时，只有采矿业与国际石油冲击存在强烈且一致的联系。在中国的部门股票 - 石油关系中，没有明显的不对称证据。
We investigate the relationship between international oil shocks and the sectoral dynamics of the Chinese stock market. Our empirical results show that the behavior and response to international oil shocks by the Chinese stock market differ significantly from the behavior and responses of the European stock market as documented in the literature. In China, only the mining industry has a strong and consistent link with international oil shocks when systematic risk factors are controlled. There is no clear evidence of asymmetries in China's sectoral stock-oil relationship.