Stock market reactions to different types of oil shocks

Evidence from China

Research output: Contribution to journalArticle

Abstract

This study utilizes a novel method of isolating oil‐price shocks into demand and supply driven contributors to analyze their impacts on stock returns in China. Empirical results suggest that oil shocks related to supply limitations generate positive abnormal stock returns for industries that can help alleviate these constraints. Conversely, demand‐driven oil shocks have mixed effects on industries which may relate to the uncertain impact of increasing demand for goods and higher production costs. These results are robust to alternative specifications of country‐specific control factors and provide evidence that different types of oil shocks have distinctive impacts on industries.
Original languageEnglish
Pages (from-to)179-193
Number of pages15
JournalThe Journal of Futures Markets
Volume41
Issue number2
Early online date10 Nov 2020
DOIs
Publication statusPublished - Feb 2021

Keywords

  • China
  • oil prices
  • oil shocks
  • risks
  • stock markets

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