Oil shocks and their impact on energy related stocks in China

David Clive Broadstock, Hong Cao, Dayong Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

140 Citations (Scopus)

Abstract

This paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in China. After conditioning for structural instability, the results show a much stronger relation following the 2008 financial crisis. We argue that this reflects the fact that investors in the Chinese stock market, especially for energy related stocks, are more sensitive to the shocks in international crude oil market.
Original languageEnglish
Pages (from-to)1888-1895
Number of pages8
JournalEnergy Economics
Volume34
Issue number6
DOIs
Publication statusPublished - 1 Nov 2012
Externally publishedYes

Keywords

  • Asset pricing
  • BEKK
  • Energy related stocks
  • Oil prices
  • Structural break

ASJC Scopus subject areas

  • Economics and Econometrics
  • Energy(all)

Cite this