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 language | English |
|---|---|
| Pages (from-to) | 722-748 |
| Number of pages | 27 |
| Journal | Journal of Futures Markets |
| Volume | 40 |
| Issue number | 5 |
| Early online date | 7 Jan 2020 |
| DOIs | |
| Publication status | Published - May 2020 |
Keywords
- China
- energy
- oil reform
- oil returns
- oil volatility