IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v57y2021i11p3139-3152.html
   My bibliography  Save this article

Downside Risk in the Oil Market: Does It Affect Stock Returns in China?

Author

Listed:
  • Zhi Su
  • Xuan Mo
  • Libo Yin

Abstract

In this paper, we investigate the impact of downside risk in the oil market on the expected stock returns in China’s A-share market, and find that downside risk positively influences the expected stock returns. This positive influence remains after controlling for various control variables. It is also robust under different stock market conditions and the financial crisis, and with high-frequency data as an alternative measure of downside risk. In addition, the positive relation is consistent across industries regardless of whether they are directly related to natural resources or only indirectly related to oil. We also find evidence of nonlinearity in the relation between the oil and stock markets. The positive relation can be explained by the global risk aversion of investors who are averse to downside risk in the oil market and thus demand compensation in the form of higher expected returns for holding stocks.

Suggested Citation

  • Zhi Su & Xuan Mo & Libo Yin, 2021. "Downside Risk in the Oil Market: Does It Affect Stock Returns in China?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(11), pages 3139-3152, September.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:11:p:3139-3152
    DOI: 10.1080/1540496X.2020.1796626
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2020.1796626
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2020.1796626?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. Yin, Libo & Cao, Hong & Guo, Yumei, 2024. "The information content of Shanghai crude oil futures vs WTI benchmark: Evidence from temporal and spatial dimensions," Energy Economics, Elsevier, vol. 132(C).
    2. Wensheng Xiao & Yu Tang & Bright Obuobi & Shaojian Qu & Minglan Yuan & Decai Tang, 2023. "The Influence of Rule of Law on Government’s Sustainable Economic Management: Evidence from China," Sustainability, MDPI, vol. 15(15), pages 1-23, July.
    3. 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:57:y:2021:i:11:p:3139-3152. 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.