Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence
Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence
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油价与中国股市：非线性因果关系与波动持续性
DOI：
10.1080/1540496x.2018.1496078
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发表时间：
2018-09
影响因子：
4
通讯作者：
Li JY
中科院分区：
文献类型：
--
作者：
Wen FH;Xiao JH;Xia XH;Chen B;Xiao ZY;Li JY
本文利用非线性自回归分布滞后(NARDL)模型和Diks and Panchenko(DP)检验，从总体和行业两个层面考察了油价与中国股市之间的非线性协整关系和非线性因果关系。实证结果表明，油价与中国股票市场在总体和行业层面上均不存在显着的不对称协整效应。然而，油价与中国股市之间存在显著的非线性因果关系。具体地说，油价可以通过非线性渠道广泛影响中国股指。相反的情况也适用于整体指数和矿业、公用事业、金融和房地产板块。此外，还考察了这些非线性因果关系的潜在来源。结果表明，波动持续性而不是不对称协整是解释油价与中国股市之间非线性因果关系的主要因素。
This article mainly focuses on investigating the nonlinear co-integration and nonlinear causality relationships between oil prices and Chinese stock market at the overall and sectoral levels by using nonlinear autoregressive distributed lags (NARDL) model and Diks and Panchenko (DP) test. The empirical results show that there are not significantly asymmetric co-integration effects between oil prices and Chinese stock market for the overall and sectoral levels. However, the significantly nonlinear causality between oil prices and Chinese stock market can be found. Specifically, oil prices can widely affect Chinese stock indices through nonlinear channel. The cases in the reverse also work for overall indices and Mining, Utilities, Financial and Real Estate sectors. Furthermore, the potential sources of these nonlinear causality linkages are examined. The results suggest that volatility persistence rather than asymmetrical co-integration is the major factor that accounts for the nonlinear causality between oil prices and Chinese stock market.
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