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Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index

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  • Luo, Xingguo
  • Qin, Shihua

Abstract

This paper investigates the impact of oil price shocks and oil price volatility shocks on the Chinese stock market index and five sector returns. In addition to the realized volatility, the paper uses the CBOE crude oil volatility index (OVX) to proxy for the oil price volatility. The empirical results suggest that oil price shocks positively affect Chinese stock returns. More importantly, evidence indicates that the OVX shocks have significant and negative effects on the Chinese stock market while the impact of realized volatility shocks is negligible, especially after the recent financial crisis.

Suggested Citation

  • Luo, Xingguo & Qin, Shihua, 2017. "Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index," Finance Research Letters, Elsevier, vol. 20(C), pages 29-34.
    • Handle: RePEc:eee:finlet:v:20:y:2017:i:c:p:29-34
    DOI: 10.1016/j.frl.2016.08.005
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    More about this item

    Keywords

    Chinese stock market; Oil price shocks; Oil price volatility shocks; OVX;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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