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- W3122701892 abstract "This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997–February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, and Oil and Gas sectors. The latter two sectors are found to exhibit a negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price uncertainty appears to be insignificant during periods with precautionary demand shocks." @default.
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- W3122701892 date "2015-07-01" @default.
- W3122701892 modified "2023-10-12" @default.
- W3122701892 title "Oil price uncertainty and sectoral stock returns in China: A time-varying approach" @default.
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- W3122701892 doi "https://doi.org/10.1016/j.chieco.2014.09.008" @default.
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