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• W2029752275 startingPage "6627" @default.
• W2029752275 abstract "Abstract This paper investigated the impact of global oil price shocks on China’s stock market, using the ARJI(- h t )-EGARCH model. We separated the volatilities into expected, unexpected and negatively unexpected ones to identify how oil prices influence the stock returns. The results reveal that there are jumps varying in time in China’s stock market, and that China’s stock returns are correlated only with expected volatilities in world oil prices, contrary to previous research. While world oil prices have a positive effect on China’s stock returns, results from this study suggest that this effect is minor." @default.
• W2029752275 created "2016-06-24" @default.
• W2029752275 creator A5036885388 @default.
• W2029752275 creator A5068139053 @default.
• W2029752275 date "2011-11-01" @default.
• W2029752275 modified "2023-10-17" @default.
• W2029752275 title "The impact of global oil price shocks on China’s stock returns: Evidence from the ARJI(-ht)-EGARCH model" @default.
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• W2029752275 doi "https://doi.org/10.1016/j.energy.2011.08.052" @default.
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