The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia

Fang, Chung-Rou; You, Shih-Yi

doi:10.1016/j.iref.2013.06.005

Cited by 176 publications

(69 citation statements)

References 34 publications

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“…This result has similarities with studies done by Cong et al (2008) and Fang and You (2014) that both claims that the impact of oil price changes on Chinese stock market is insignificant.…”

Section: Discussionsupporting

confidence: 86%

Economic Policy Uncertainty, Global Oil Prices, Interest Rate, and Stock Market Returns - A Cointegration and Causality Analysis

Yesuf¹,

Avcı

2019

International Review of Economics and Management

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This study examines the time-varying cointegration and causal relationship between stock market indices, economic policy uncertainties, changes in global oil prices, and variation in short-term interest rates in two countries such as Russia and China, the largest oil exporting and importing countries respectively. The empirical analysis is based on the Johanssen (1996) cointegration and VEC Granger and Morris's (1976) causality test with the selected variables in view of monthly data over the period from 1996:01 to 2016:12. The outcome of the Johansen tests indicated the existence of a long-run relationship among variables both in China and Russia. In the short run, the Block Exogeneity Wald Tests have indicated the presence of unidirectional Granger causality between variables in both countries. This study has taken into account the 1998 Russian crisis and the 2008/09 global financial crisis.

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“…This result has similarities with studies done by Cong et al (2008) and Fang and You (2014) that both claims that the impact of oil price changes on Chinese stock market is insignificant.…”

Section: Discussionsupporting

confidence: 86%

Economic Policy Uncertainty, Global Oil Prices, Interest Rate, and Stock Market Returns - A Cointegration and Causality Analysis

Yesuf¹,

Avcı

2019

International Review of Economics and Management

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“…Ono (2011) assessed the impact of the oil price shock on the BRIC 1 economies, and found that this shock has a positive impact on the Indian and Russian real stock returns, while no impact was observed for the Brazilian and Chinese stock returns. Cong et al (2008) concluded that the supply shock has no impact on stock markets for India, Russia and China;and Fang (2010) found that such an impact exists for these countries. Kilian (2009) has criticized most of the earlier conventional studies because the research tends to treat all oil price shock as exogenous.…”

Section: Introductionmentioning

confidence: 99%

Does the source of oil price shocks matter for South African stock returns? A structural VAR approach

2013

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In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural vector autoregression (VAR) approach for the period 1973:01 to 2011:07. The results show that for an oil-importing country like South Africa, stock returns only increase with oil prices when global economic activity improves. In response to oil supply shocks and speculative demand shocks, stock returns and the real price of oil move in opposite directions. The analysis of the variance decomposition shows that the oil supply shock contributes more to the variability in real stock prices. The main conclusion is that different oil price shocks affect stock returns differently and policy makers and investors should always consider the source of the shock before implementing policy and making investment decisions.JEL classifications: C32, C58, G1, Q43

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“…Based on the extreme value theory, Chen and Lv [28] show a positive extremal dependence between oil prices and the Chinese stock market. It is noteworthy that Fang and You [42] seemed to look at different types of oil shocks but not look at the effects of different quantiles, whereas Chen and Lv [28] suggested that the extremes of the distribution of the oil market and stock market are dependent; however, they do not look at different types of oil shock.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Employing an ARJI(-ht)-EGARCH model, Zhang and Chen [41] found that the Chinese stock market correlated only with expected volatilities in global oil prices and global oil prices have only minor positive effects on the Chinese stock market. Fang and You [42] evaluated the effects of oil supply and demand shocks on the Chinese stock market with a structural VAR approach. They drew the conclusion that it presented a significant negative effect on oil-specific demand shocks but no statistically significant effects on global demand oil shocks.…”

Section: Literature Reviewmentioning

confidence: 99%

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

Zhu

Guo

et al. 2016

Sustainability

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This paper uses a quantile impulse response approach to investigate the impact of oil price shocks on Chinese stock returns. This process allows us to uncover asymmetric effects of oil price shocks on stock market returns by taking into account the different quantiles of oil price shocks. Our results show that the responses of Chinese stock market returns to oil price shocks differ greatly, depending on whether the oil and stock market is in a bust or boom state and whether the shock is driven by demand or supply. The impacts of oil price shocks on Chinese stock returns present asymmetric features. In particular during a bust phase, oil supply and demand shocks significantly depress stock market returns, while during a boom period, the aggregate demand shock enhances stock market returns. These results suggest some important implications for investors and decision makers. Keywords:Chinese stock market; oil price shock; asymmetric effects; quantile impulse response; quantile vector autoregression

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The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia

Cited by 176 publications

References 34 publications

Economic Policy Uncertainty, Global Oil Prices, Interest Rate, and Stock Market Returns - A Cointegration and Causality Analysis

Economic Policy Uncertainty, Global Oil Prices, Interest Rate, and Stock Market Returns - A Cointegration and Causality Analysis

Does the source of oil price shocks matter for South African stock returns? A structural VAR approach

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

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