Abstract
This paper investigates the influence of international oil prices on China’s stock market returns across twenty-nine different industries. It attempts to account for any structural breaks and nonlinearity in this relationship. The results find that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal, chemicals, mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail, rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks was also found to have a stronger effect in the presence of high volatility, but the effect varies across industries.
| Original language | English |
|---|---|
| Pages (from-to) | 43–62 |
| Number of pages | 20 |
| Journal | China & World Economy |
| Volume | 26 |
| Issue number | 3 |
| Early online date | 10 May 2018 |
| DOIs | |
| Publication status | Published - May 2018 |
Keywords
- China’s stock market industries
- International oil prices
- Regime switching
- Structural break