The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices

Tian, Meiyu; Li, Wanyang; Wen, Fenghua

doi:10.1016/j.najef.2020.101310

Cited by 40 publications

(18 citation statements)

References 47 publications

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“…Energy finance is interdisciplinary, setting up a bridge on two most important industries, that is, finance and energy, in real life. In recent years, topics on asset pricing, financial risk management, investment, and so on have been widely applied in the energy industry area (Wen et al, 2021a;Wen et al, 2021b;Cao et al, 2022;Farouq et al, 2021;Liu et al, 2021;Peng et al, 2021;Tian et al, 2021;Zheng et al, 2021). In this paper, we verify the existence of firm-level "intraday return vs. overnight return" pattern and overnight-intraday effect of nine financial anomalies in the energy industry market.…”

Section: Introductionmentioning

confidence: 77%

Overnight-Intraday Mispricing of Chinese Energy Stocks: A View from Financial Anomalies

Zhou

Liu

2022

Front. Energy Res.

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We verify the existence of firm-level “intraday return vs. overnight return” pattern and overnight-intraday effect of nine financial anomalies of Chinese energy industry stocks of the Chinese stock market. Though energy finance has been an independent research area, we also take Chinese A-shares stocks as samples for empirical analysis to avoid the so-called sample selection bias. Specifically, it verifies that the overnight returns are strongly negative and intraday returns are positive for energy industry stocks, which is totally contrary to the American stock markets. In addition, alphas of the zero-cost strategies based on nine classic financial anomalies are almost earned at night for energy industry stocks. Finally, it is risk-related anomalies that occur overnight for energy industry stocks, while both four risk-related anomalies and two firm characteristics related anomalies occur at night for all A-shares stocks. Our empirical findings based on Chinese financial markets enrich the existing research on the mispricing of financial anomaly and shed a new sight on the asset pricing in energy finance.

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Section: Introductionmentioning

confidence: 77%

Overnight-Intraday Mispricing of Chinese Energy Stocks: A View from Financial Anomalies

Zhou

Liu

2022

Front. Energy Res.

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“…Indeed, as it is affected by market sentiment, the US dollar index may fluctuate sharply. Since the US dollar index strongly correlates with oil prices, the fluctuation will further impact oil prices [ 40 , 41 , 42 , 43 , 44 , 45 , 46 ]. On the one hand, if the PHEIC is only of limited influence and short duration, and if there are effective measures to prevent and control it, its influence on oil price trends will gradually wane and disappear.…”

Section: Deducing the Logical Relationshipmentioning

confidence: 99%

Can Major Public Health Emergencies Affect Changes in International Oil Prices?

Cheng

Chen

Guo-gang

et al. 2021

IJERPH

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In order to deepen the understanding of the impact of major public health emergencies on the oil market and to enhance the risk response capability, this study analyzed the logical relationship between major public health emergencies and international oil price changes, identified the change points, and calculated the probability of abrupt changes to international oil prices. Based on monthly data during six major public health emergencies from 2009 to 2020, this study built a product partition model. The results show that only the influenza A (H1N1) and COVID-19 pandemics were significant reasons for abrupt changes in international oil prices. Furthermore, the wild poliovirus epidemic, the Ebola epidemic, the Zika epidemic, and the Ebola epidemic in the Democratic Republic of the Congo had limited effects. Overall, the outbreak of a Public Health Emergency of International Concern (PHEIC) in major global economies has a more pronounced impact on international oil prices.

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“…First, China has surpassed the USA as the largest oil consumer and importer in the world as cited in Tian et al (2021) . Meanwhile, as the China has become the second largest economy of the world, in the 18th People Congress held in 2012 November, in order to attract a group of international investors, the government of China increased the credit line available to certified investors internationally (QFII) Tian et al (2021) . International investors have used the Shenzhen and Shanghai indexes as benchmarks.…”

Section: Introductionmentioning

confidence: 99%