Oil shocks and their impact on energy related stocks in China

David Clive Broadstock; Hong Cao; Dayong Zhang

doi:10.1016/j.eneco.2012.08.008

Oil shocks and their impact on energy related stocks in China

David Clive Broadstock, Hong Cao, Dayong Zhang

Research output: Journal article publication › Journal article › Academic research › peer-review

258 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 language	English
Pages (from-to)	1888-1895
Number of pages	8
Journal	Energy Economics
Volume	34
Issue number	6
DOIs	https://doi.org/10.1016/j.eneco.2012.08.008
Publication status	Published - 1 Nov 2012
Externally published	Yes

Keywords

Asset pricing
BEKK
Energy related stocks
Oil prices
Structural break

ASJC Scopus subject areas

Economics and Econometrics
General Energy

More information

10.1016/j.eneco.2012.08.008

Cite this

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KW - Structural break

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Oil shocks and their impact on energy related stocks in China

Abstract

Keywords

ASJC Scopus subject areas

More information

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