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Impacts of oil price shocks on Chinese stock market liquidity

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  • Zheng, Xinwei
  • Su, Dan

Abstract

In this paper we investigate whether and how different oil price shocks affect the stock market liquidity in China. Our empirical results show that stock market liquidity only increases when the positive oil price shocks come from oil-specific demand side. When the oil price shocks are from oil supply side or the aggregate demand side, stock market liquidity negatively comoves with oil price.

Suggested Citation

  • Zheng, Xinwei & Su, Dan, 2017. "Impacts of oil price shocks on Chinese stock market liquidity," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 136-174.
    • Handle: RePEc:eee:reveco:v:50:y:2017:i:c:p:136-174
    DOI: 10.1016/j.iref.2017.03.021
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    More about this item

    Keywords

    Stock market liquidity; Oil prices; Structural vector auto-regressive model;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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