Abstract
This paper investigates the impact of oil price shocks and oil price volatility shocks on the Chinese stock market index and five sector returns. In addition to the realized volatility, the paper uses the CBOE crude oil volatility index (OVX) to proxy for the oil price volatility. The empirical results suggest that oil price shocks positively affect Chinese stock returns. More importantly, evidence indicates that the OVX shocks have significant and negative effects on the Chinese stock market while the impact of realized volatility shocks is negligible, especially after the recent financial crisis.
| Original language | English |
|---|---|
| Pages (from-to) | 29-34 |
| Number of pages | 6 |
| Journal | Finance Research Letters |
| Volume | 20 |
| Early online date | 13 Sept 2016 |
| DOIs | |
| Publication status | Published - Feb 2017 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2016 Elsevier Inc.
Funding
The research reported in this paper was supported by the National Natural Science Foundation of China (project no. 71301143), the Natural Science Foundation of Zhejiang Province (project no. LQ13G030001), and the Fundamental Research Funds for the Central Universities.
Keywords
- Chinese stock market
- Oil price shocks
- Oil price volatility shocks
- OVX