The impact of global oil price shocks on China's stock returns: Evidence from the ARJI(-h(t))-EGARCH model

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	The impact of global oil price shocks on China's stock returns: Evidence from the ARJI(-h(t))-EGARCH model
	Zhang, Chuanguo ; Chen, Xiaoqing ; Zhang CG(张传国)
刊名	http://dx.doi.org/10.1016/j.energy.2011.08.052
	2011-09
关键词	REAL EXCHANGE-RATE EMPIRICAL-ANALYSIS JUMP DYNAMICS MARKET MACROECONOMY RISK
英文摘要	This paper investigated the impact of global oil price shocks on China's stock market, using the ARJI(-h(t))-EGARCH model. We separated the volatilities into expected, unexpected and negatively unexpected ones to identify how oil prices influence the stock returns. The results reveal that there are jumps varying in time in China's stock market, and that China's stock returns are correlated only with expected volatilities in world oil prices, contrary to previous research. While world oil prices have a positive effect on China's stock returns, results from this study suggest that this effect is minor. (C) 2011 Elsevier Ltd. All rights reserved.
语种	英语
出版者	ENERGY
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90102]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Zhang, Chuanguo,Chen, Xiaoqing,Zhang CG. The impact of global oil price shocks on China's stock returns: Evidence from the ARJI(-h(t))-EGARCH model[J]. http://dx.doi.org/10.1016/j.energy.2011.08.052,2011.
APA	Zhang, Chuanguo,Chen, Xiaoqing,&张传国.(2011).The impact of global oil price shocks on China's stock returns: Evidence from the ARJI(-h(t))-EGARCH model.http://dx.doi.org/10.1016/j.energy.2011.08.052.
MLA	Zhang, Chuanguo,et al."The impact of global oil price shocks on China's stock returns: Evidence from the ARJI(-h(t))-EGARCH model".http://dx.doi.org/10.1016/j.energy.2011.08.052 (2011).