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Oil shocks and their impact on energy related stocks in China

Author

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  • Broadstock, David C.
  • Cao, Hong
  • Zhang, Dayong
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.

Suggested Citation

  • Broadstock, David C. & Cao, Hong & Zhang, Dayong, 2012. "Oil shocks and their impact on energy related stocks in China," Energy Economics, Elsevier, vol. 34(6), pages 1888-1895.
    • Handle: RePEc:eee:eneeco:v:34:y:2012:i:6:p:1888-1895
    DOI: 10.1016/j.eneco.2012.08.008
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    More about this item

    Keywords

    Oil prices; Energy related stocks; BEKK; Asset pricing; Structural break;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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