Impact of international energy prices on China’s industries

Jin Boon Wong*, Qin Zhang

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

This study examines how returns and volatility of future contracts for Brent crude oil (Brent), West Texas Intermediate crude oil (WTI), Henry Hub natural gas, and Newcastle thermal coal impacts industries in China. Using the firm-level data of 3,750 stock listings across both Shanghai and Shenzhen stock exchanges, segregated into 138 subindustries under the Global Industry Classification Standard, this study finds evidence that crude oil futures have the most significant influence. Further analysis suggests that stock returns of oil-related companies are more closely align to Brent and WTI’s futures returns following China’s key oil pricing reform on March 27, 2013. Overall, Chinese industries are also more exposed to global crude oil futures volatility after this event.

Original languageEnglish
Pages (from-to)722-748
Number of pages27
JournalJournal of Futures Markets
Volume40
Issue number5
Early online date7 Jan 2020
DOIs
Publication statusPublished - May 2020

Keywords

  • China
  • energy
  • oil reform
  • oil returns
  • oil volatility

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