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- W4320522407 endingPage "126644" @default.
- W4320522407 startingPage "126644" @default.
- W4320522407 abstract "Along with the growing dependence on oil-imports, China's stock market is susceptible to large oil price fluctuations. We revisit this issue by focusing on the heterogeneous effects of different oil price fluctuations in the post-crisis period. Both shocks and volatility in oil prices are divided into expected and unexpected parts. Because stock markets may also be affected by other factors, we apply the generalized additive outlier (GAO) method to solve the problem of missing variables and reduce the possibility of spurious regression. We have reached three new insights. First, expected oil price shocks have negative, while the unexpected shocks have positive effect on China's stock returns. Second, expected oil price volatility boosts the stock returns, whereas unexpected oil price volatility can depress the stock returns and amplify the stock volatility simultaneously. Third, last unexpected oil price volatility is positively associated with the stock returns while negatively associated with the stock volatility. This means there may be a rally in the stock market after the impacts of sudden oil price volatility hikes. These findings imply that financial skill training and an efficient risk-alert mechanism may both be helpful to balance the effects of unexpected oil price shocks and unexpected oil price volatility on China's stock market." @default.
- W4320522407 created "2023-02-14" @default.
- W4320522407 creator A5010077095 @default.
- W4320522407 creator A5060470951 @default.
- W4320522407 creator A5091069941 @default.
- W4320522407 date "2023-04-01" @default.
- W4320522407 modified "2023-10-12" @default.
- W4320522407 title "Heterogeneous impacts of oil prices on China's stock market: Based on a new decomposition method" @default.
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- W4320522407 doi "https://doi.org/10.1016/j.energy.2023.126644" @default.
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