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Oil Shocks and their Impact on Energy Related Stocks in China

  • David C Broadstock


    (Research Institute of Economics and Management (RIEM), Southwestern University of Finance and Economics, Sichuan, China and Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, UK.)

  • Hong Cao

    (Research Institute of Economics and Management (RIEM), Southwestern University of Finance and Economics, Sichuan, China)

  • Dayong Zhang

    (Research Institute of Economics and Management (RIEM), Southwestern University of Finance and Economics, Sichuan, China)

This paper contributes to the current literature by adopting dynamic 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.

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Paper provided by Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey in its series Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) with number 137.

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Length: 36 pages
Date of creation: Jun 2012
Date of revision:
Publication status: Published in Energy Economics, 34(6), 2012, pp. 1888-1895. (Revised Version)
Handle: RePEc:sur:seedps:137
Contact details of provider: Postal: Guildford, Surrey GU2 5XH, UK
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