Do oil price asymmetric effects on the stock market persist in multiple time horizons
Do oil price asymmetric effects on the stock market persist in multiple time horizons
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DOI：
10.1016/j.apenergy.2015.11.094
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发表时间：
2017
期刊：
影响因子：
11.2
通讯作者：
Shupei Huang;H. An;Xiangyun Gao;Xiaoqi Sun
中科院分区：
文献类型：
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作者：
Shupei Huang;H. An;Xiangyun Gao;Xiaoqi Sun
油价可能对股市产生不对称影响。这种效应在不同的时间范围内是否持续存在？为了回答这个多尺度难题，我们结合小波变换和向量自回归模型来研究不同时间范围内石油价格上涨或下跌与股票收益之间的动态关系。本文发现证据表明，在每个时间范围内，油价上涨和下跌都会对股票收益产生显着影响；此外，股市对油价也有反向影响。进一步检验证明，股市对油价变化的响应幅度随着时间跨度的延长而增大，且不同时间跨度的响应方向不同。而且，与汇率相比，油价变化对股市的影响更大。总体而言，从油价涨跌的影响方向和幅度随时间尺度的变化来看，油价对股市的影响不存在跨时间尺度的持续不对称效应。然而，更长期的影响值得政策制定者和投资者更多关注。
The oil price could exert asymmetric effects on the stock market. Does this effect persist in various time horizons? To answer this multiscale puzzle, we combine the wavelet transform and the vector autoregression model to examine the dynamic relations between the oil price increase or decrease and stock returns at various time horizons. This paper finds evidence that for each time horizon, both the oil price increase and decrease have significant effects on the stock returns; in addition, the stock market has a reverse influence on the oil price. Further examination proves that the response amplitude of the stock market to the oil price changes ascends as the time horizon lengthens and the response direction varies across different time horizons. Moreover, compared with the exchange rate, the oil price changes could exert a greater effect on the stock market. Overall, based on the influence direction and the extent of the oil price increase and decrease vary with the time scale, there is no persistent asymmetric effect of the oil price on the stock market across time scales. However, the impacts in the longer time horizons deserve more attention from the policy-makers and investors.