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- W2550223556 abstract "Abstract The refined oil pricing reform of March 27, 2013, was a major step toward the adoption of market-oriented pricing by making timelier, more frequent adjustments to domestic oil prices in China. However, the prior literature does not consider the impact of this reform in its assessment of the mean and risk dynamics between international oil prices and the Chinese stock market. To address this limitation, this paper employs the cross-correlation function (CCF) approach and reports evidence that this reform has led to a time-varying dimension in the dynamics of the mean and variance linkages between the international oil market and the Chinese stock market. The estimated results indicate that the causality-in-mean between the two markets strengthened after the reform of March 27, 2013, whereas the causality-in-variance almost disappeared after that date. Rigorous robustness analyses confirm these results, which can be useful to both investors and policy-makers." @default.
- W2550223556 created "2016-11-30" @default.
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- W2550223556 date "2017-03-01" @default.
- W2550223556 modified "2023-10-15" @default.
- W2550223556 title "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism" @default.
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- W2550223556 doi "https://doi.org/10.1016/j.iref.2016.11.004" @default.
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