Oil price uncertainty and sectoral stock returns in China: A time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola

doi:10.1016/j.chieco.2014.09.008

Cited by 136 publications

(59 citation statements)

References 24 publications

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“…In contrast to the negative shocks, the stock returns are significantly affected by the positive oil price shocks. The stock return of full sample, textile, chemical, engineering, sugar, paper & board, cement, fuel and energy, vanaspati and misc industry explains a positive significant; similar results are reported by (Caporale, Ali, &Spagnolo, 2015;Demirer, Jategaonkar, &Khalifa, 2015). The increase in oil prices, during the study period, is caused by demand side shocks by the industries to enhance their operations which deliver an optimistic view to the investors for stock trading; these results are inline with (Narayan & Sharma, 2011).…”

Section: Asymmetry Analysissupporting

confidence: 76%

Oil Price and Firm Level Equity Return: A Panel Approach

Chen¹

2017

Proceedings of the 2nd 2016 International Conference on Sustainable Development (ICSD 2016)

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Abstract-The study investigates the impact of oil prices on firm level equity return in case of Pakistan over the period 1998-2014, as this relationship is neglected by the previous literature. By using the panel data estimation, the results of full sample indicate significant positive effect of oil price changes on firm equity returns in the same period, whereas, the lagged oil price changes have significant negative effect on firms' equity return. Moreover, the industry level analysis also confirms the similar findings; results indicate significant positive impact of oil price on firms' equity return in full sample, textile, chemical and miscellaneous industry, while the lagged oil prices change negatively affect the stock returns of full sample and all the industries except tobacco, jute and vanaspati industries. The study confirms that rise in oil price transfer a positive signal in the stock market that boosts the firm-level equity return in Pakistan. In contrast to the negative shocks, the stock returns are significantly affected by the positive oil price shocks.

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Section: Asymmetry Analysissupporting

confidence: 76%

Oil Price and Firm Level Equity Return: A Panel Approach

Chen¹

2017

Proceedings of the 2nd 2016 International Conference on Sustainable Development (ICSD 2016)

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“…Therefore, international crude oil prices have a large net spillover effect on China's metals commodity sector. For the energy sector, this result is evident since crude oil and belongs to the energy asset class; therefore, shocks from both oil supply and demand have severely affected the energy sector (Caporale et al, 2015). This reason applies to the coal coke and steel ore sector, as it also belongs to the energy class.…”

Section: Heterogeneous Spillovers From the Crude Oil Market To China'mentioning

confidence: 99%

“…Besides, countries that rely on crude oil imports are more sensitive to changes in oil prices. However, the research on developing countries especially China is inadequate, despite their increasingly economic importance (Caporale et al, 2015;Shi and Sun, 2017;You et al, 2017;Cheng et al, 2019;Wang and Wang, 2019). In this study, we take the Chinese commodity sector as an example to study the dynamic impact of crude oil price fluctuations on the economies of developing countries.…”

Section: Introductionmentioning

confidence: 99%

Dynamic Spillovers Between International Crude Oil Market and China's Commodity Sectors: Evidence From Time-Frequency Perspective of Stochastic Volatility

2020

Front. Energy Res.

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We study the time-frequency dynamics of stochastic volatility spillovers between international crude oil markets and China's commodity sectors in the spectral representation framework of generalized forecast error variance decomposition (GFEVD). We find evidence that international crude oil markets has significant volatility spillover effects on China's bulk commodity markets, and the volatility spillovers are sensitive to extreme geopolitical or financial events. The net spillovers of international oil markets are almost positive and driven mainly by short-term components (within a week). However, uncertain financial factors from China such as the market-oriented reform in 2013 and the stock disaster in 2015 adversely affect the net oil-commodity volatility spillovers through the medium-term components (week to a month) and long-term components (month to a year). Moreover, the volatility spillover effects of crude oil prices on different commodity sectors in China are heterogeneous. Metal, coal coke, and steel ore and energy commodity sectors are more affected by crude oil prices, whereas nonmetal building materials and agricultural commodities are less affected. These outcomes implement necessary implications for investors and policymakers.

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“…(2002)], and therefore sectoral-based investigation is imperative for a better understanding of this relationship. The oil and gas sectors, as well as the technology sector, are investigated by Sadorsky (2001Sadorsky ( , 2003, while a large number of industries in the U.S. and China are explored by Elyasiani (2011) and Caporale (2015), respectively. All their findings underline the necessity of studying the various industries separately, mainly due to their different dependence on the oil industry.…”

Section: Oil Prices and Stock Market Activitymentioning

confidence: 99%

Oil Prices and the Renewable Energy Sector

Kyritsis

Serletis

2017

SSRN Journal

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Energy security, climate change, and growing energy demand issues are moving up on the global political agenda, and contribute to the rapid growth of the renewable energy sector. In this paper we investigate the effects of oil price shocks, and also of uncertainty about oil prices, on the stock returns of clean energy and technology companies. In doing so, we use monthly data that span the period from May 1983 to December 2016, and a bivariate structural VAR model that is modified to accommodate GARCH-in-mean errors, and it is used to generate impulse response functions. Moreover, we examine the asymmetry of stock responses to oil price shocks and compare them accounting for oil price uncertainty, while effects of oil price shocks of different magnitude are also investigated. Our evidence indicates that oil price uncertainty has no statistically significant effect on stock returns, and that the relationship between oil prices and stock returns is symmetric. Our results are robust to alternative model specifications and stock prices of clean energy companies.JEL classification: C32, G15, Q42.

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Oil price uncertainty and sectoral stock returns in China: A time-varying approach

Cited by 136 publications

References 24 publications

Oil Price and Firm Level Equity Return: A Panel Approach

Oil Price and Firm Level Equity Return: A Panel Approach

Dynamic Spillovers Between International Crude Oil Market and China's Commodity Sectors: Evidence From Time-Frequency Perspective of Stochastic Volatility

Oil Prices and the Renewable Energy Sector

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