IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v56y2020i12p2749-2771.html
   My bibliography  Save this article

Heterogeneous Impacts of International Oil Price Shocks on the Stock Market – Evidence from China

Author

Listed:
  • Xiang Zhang
  • Lu Liu

Abstract

This article examines the effects of international oil price shocks on the Chinese stock market with explicitly considering the financialization of oil market. Empirical results based on the threshold structural VAR show that the response of stock returns is heterogeneous across regimes and sectors and depends on the source of oil shocks. Generally, oil price shocks have a larger impact on Chinese stocks in the bear regime than in the bull regime, and such nonlinearity is more pronounced for oil supply shocks and aggregate demand shocks. At the sector level, the nonlinear effects of oil price shocks are particularly obvious in the energy, industrials, and consumer discretionary sectors. Furthermore, oil shocks also affect the probability of the stock market switching between bull and bear regimes. The regime switching behavior acts as an important propagator of oil shocks which can explain the differences in risk premiums among quintiles of oil-beta portfolio returns. Although its direct effect on stock returns is limited, oil market’s financialization may trigger regime shifts in several sectors.

Suggested Citation

  • Xiang Zhang & Lu Liu, 2020. "Heterogeneous Impacts of International Oil Price Shocks on the Stock Market – Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(12), pages 2749-2771, September.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:12:p:2749-2771
    DOI: 10.1080/1540496X.2019.1567263
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2019.1567263
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2019.1567263?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
    2. Rehman, Mobeen Ur & Vo, Xuan Vinh & McIver, Ron & Kang, Sang Hoon, 2022. "Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions," Energy Economics, Elsevier, vol. 108(C).
    3. Chin Chia Liang & Carol Troy & Ellen Rouyer, 2020. "The Stock Price Impact of Domestic and Foreign Economic Policy Uncertainty: Evidence from China," Economics Bulletin, AccessEcon, vol. 40(2), pages 1747-1755.
    4. Chen, Bin-xia & Sun, Yan-lin, 2023. "Extreme risk contagion between international crude oil and China's energy-intensive sectors: New evidence from quantile Granger causality and spillover methods," Energy, Elsevier, vol. 285(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:56:y:2020:i:12:p:2749-2771. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.