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- W3120896468 abstract "The aim of this paper is to explore the potential asymmetric impacts of positive and negative shocks in crude oil prices on stock prices in six major international financial markets which include China, Hong Kong, America, Japan, Britain, and Germany. We test for these asymmetric effects on 8 major international financial markets indices over the 2007M01–2020M03 periods. Our independent measures include the prices of Brent crude oil futures and West Texas Intermediate (WTI) futures. We use the nonlinear ARDL (NARDL) model proposed by Shin et al. (2014), which can capture both short- and long-run nonlinearities through positive and negative partial sum decompositions of the explanatory variables. This research finds that positive and negative fluctuations of oil price have asymmetric effects on stock price index in four financial markets, but the performance of the asymmetry is different. Specifically, the impacts of volatility in oil prices on two indices of Chinese stock prices are different, and the asymmetric effects of oil price volatility on stock price indices in China and other financial markets are significantly different." @default.
- W3120896468 created "2021-01-18" @default.
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- W3120896468 date "2021-04-01" @default.
- W3120896468 modified "2023-10-18" @default.
- W3120896468 title "The asymmetric effect of crude oil prices on stock prices in major international financial markets" @default.
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- W3120896468 doi "https://doi.org/10.1016/j.najef.2020.101357" @default.
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