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Testing the Asymmetric Response of China’s Stock Returns to Oil Price Dynamics - Does Fear of COVID-19 Matter?

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  • Joel Ede Owuru

    (Department of Economics, Augustine University, Nigeria)

Abstract

This study investigates the response of Chinese stock returns to oil prices amidst the COVID-19 pandemic using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results indicate that oil price and the COVID-19 Global Fear Index (GFI), respectively, affect stock returns positively and negatively in the short run. While oil price asymmetry matters, Chinese stock returns do not respond to oil price changes and GFI in the long run.

Suggested Citation

  • Joel Ede Owuru, 2021. "Testing the Asymmetric Response of China’s Stock Returns to Oil Price Dynamics - Does Fear of COVID-19 Matter?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
    • Handle: RePEc:ayb:jrnael:43
    DOI: 2021/10/06
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    References listed on IDEAS

    as
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    Cited by:

    1. Tumala, Mohammed M. & Salisu, Afees A. & Gambo, Ali I., 2023. "Disentangled oil shocks and stock market volatility in Nigeria and South Africa: A GARCH-MIDAS approach," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 707-717.

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • I10 - Health, Education, and Welfare - - Health - - - General

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