The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective

Zhu, Huiming; Su, Xianfang; Guo, Yawei; Ren, Yinghua

doi:10.3390/su8080766

Cited by 30 publications

(18 citation statements)

References 50 publications

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“…It has been empirically confirmed that the oil price shock is always associated with economic recessions and stock market fluctuations, which may be reflected by either dampened stock returns or aggravated investment risks [20][21][22]. In-depth studies find that the direction and magnitude of such impacts are also leveraged by the states of an economy, for example, whether the economy is developing or developed, which phase of business cycles the economy is in, whether the economy is net importing or exporting oil, and whether the oil price shock is caused by changes from the demand or supply side [23][24][25]. New evidence also shows that the oil shock's impacts on stock markets are most likely to be observed when the stock market is also under an extreme status, for example, financial crisis or contagion from the crisis [26,27].…”

Section: Literature Reviewmentioning

confidence: 99%

The Diversification Benefits of Including Carbon Assets in Financial Portfolios

Zhang

Liu

2017

Sustainability

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Carbon allowances traded in the EU-Emission Trading Scheme (EU-ETS) were initially designed as an economic motivation for efficiently curbing greenhouse as emissions, but now it mimics quite a few characteristics of financial assets, and have now been used as a candidate product in building financial portfolios. In this study, we examine the time-varying correlations between carbon allowance prices with other financial indices, during the third phase of EU-ETS. The results show that, at the beginning of this period, carbon price was still strongly corrected with other financial indices. However, this connection was weakened over time. Given the relative independence of carbon assets from other financial assets, we argue for the diversification benefits of including carbon assets in financial portfolios, and building such portfolios, respectively, with the traditional global minimum variance (GMV) strategy, the mean-variance-OGARCH (MV-OGARCH) strategy, and the dynamic conditional correlation (DCC) strategy. It is shown that the portfolio built with the MV-OGARCH strategy far out-performs the others and that including carbon assets in financial portfolios does help reduce investment risks.

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Section: Literature Reviewmentioning

confidence: 99%

The Diversification Benefits of Including Carbon Assets in Financial Portfolios

Zhang

Liu

2017

Sustainability

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“…Therefore, oil price changes may have a heterogeneous effect on the stock market comparing different industries. Zhu et al (2016) examined the heterogeneity dependence between crude oil price changes and industry stock market returns in China. The quantile regression result showed that co-movement exists between the global crude oil and Chinese industry markets at low quantiles, while no co-movement exists at other quantiles.…”

Section: Empirical Findingsmentioning

confidence: 99%

Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach

2019

JEM

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Oil is one of the most important commodities and its impact on the global economy is evident through many studies. This study is focused on examining the nine sectors of stock returns in Malaysia. The main objective is to investigate the asymmetric effects of oil price changes (oil price increases and decreases) on the sectoral stock returns in Malaysia. Besides, this study also examines the spillover effect among the sectoral stock returns in Malaysia relative to the effects of other factors. By using monthly data from 2000 to 2017, the Non-linear Autoregressive Distributed Lags (NARDL) model is applied to model the asymmetric effect of oil price changes. The study detected the asymmetric effects of oil price changes with negative effect dominant, the positive effect and oil price effect is larger in the oil intensive sectors. However, the oil price is not the main determinant factor. The main factors determining the stock returns are exchange rate, Malaysia stock market return, world stock return and sectoral spillover effect. Among these factors, the exchange rate is the main factor that influenced the stock return.

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“…In this study, the orthogonal rotation method with the largest variance is chosen. 5 Calculate the score of each factor According to the factor scores coefficient matrix and standardized data determined by step 4 , the main factors can be expressed as a linear combination of indicator variables:…”

Section: Model Construction Based On Factor Analysismentioning

confidence: 99%

“…In order to cope with the complicated situation of the international energy market, China must ensure a stable energy system [3]. From an international trade perspective, energy import demand grows rapidly in China [4,5]. Since March 2017, China has become the world's largest importer of crude oil.…”

Section: Introductionmentioning

confidence: 99%

An Early Warning System for Oil Security in China

et al. 2018

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Abstract:The oil system security in a country or region will affect its sustainable development ability. China's oil security has risen to the national strategic level. It is urgent to construct an early warning indicator system to reflect the oil security level accurately, as well as to diagnose and assess the oil system status effectively and put forward the corresponding proposals for ensuring oil security. An early warning indicator system of China's oil system covering 23 sub-indicators from three aspects, i.e., resource security, market security and consumption security, was constructed using the SPSS (Statistical Product and Service Solutions) factor analysis method. It shows that China's oil system safety level has been seriously threatened and is generally declining. However, due to the strong introduction of energy policies and increasing energy utilization technology in recent years, the increasing proportion of new energy, renewable energy and oil substitutes eases the energy security threats. In response to complex oil security issues, the Chinese government needs to strengthen macroeconomic regulation and control at the policy level continuously, increase efforts to explore resource reserves, upgrade energy conservation and emission reduction technologies, develop new alternatives for oil products, and reduce the dependence on international oil imports.

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The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective

Cited by 30 publications

References 50 publications

The Diversification Benefits of Including Carbon Assets in Financial Portfolios

The Diversification Benefits of Including Carbon Assets in Financial Portfolios

Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach

An Early Warning System for Oil Security in China

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