文献详情
Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence
文献类型:期刊
通讯作者:Xia, XH (reprint author), Renmin Univ China, Sch Econ, Beijing 100872, Peoples R China.
期刊名称:EMERGING MARKETS FINANCE AND TRADE
年:2019
卷:55
期:6
页码:1247-1263
ISSN:1540-496X
关键词:Chinese stock market; nonlinear causality; nonlinear co-integration; oil prices; sectoral indices
所属部门:经济学院;统计学院
摘要:This article mainly focuses on investigating the nonlinear co-integration and nonlinear causality relationships between oil prices and Chinese stock market at the overall and sectoral levels by using nonlinear autoregressive distributed lags (NARDL) model and Diks and Panchenko (DP) test. The empirical results show that there are not significantly asymmetric co-integration effects between oil prices and Chinese stock market for the overall and sectoral levels. However, the significantly nonlinea ...More
This article mainly focuses on investigating the nonlinear co-integration and nonlinear causality relationships between oil prices and Chinese stock market at the overall and sectoral levels by using nonlinear autoregressive distributed lags (NARDL) model and Diks and Panchenko (DP) test. The empirical results show that there are not significantly asymmetric co-integration effects between oil prices and Chinese stock market for the overall and sectoral levels. However, the significantly nonlinear causality between oil prices and Chinese stock market can be found. Specifically, oil prices can widely affect Chinese stock indices through nonlinear channel. The cases in the reverse also work for overall indices and Mining, Utilities, Financial and Real Estate sectors. Furthermore, the potential sources of these nonlinear causality linkages are examined. The results suggest that volatility persistence rather than asymmetrical co-integration is the major factor that accounts for the nonlinear causality between oil prices and Chinese stock market. ...Hide
DOI:10.1080/1540496X.2018.1496078
百度学术:Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence
语言:外文
被引频次:14
人气指数:2
浏览次数:2
基金:National Natural Science Foundation of ChinaNational Natural Science Foundation of China [71371195, 71431008, 71373266, 71633006]
作者其他论文
Identifying critical supply chains: An input-output analysis for Food-Energy-Water Nexus in China.Xiao, Zhengyan, Yao, Meiqin, Tang, Xiaotong, et al. .ECOLOGICAL MODELLING. 2019, 392, 31-37.
Embodied energy in service industry in global cities: A study of six Asian cities.Guo, Shan, Li, Yilin, Hu, Yunhao, et al. .LAND USE POLICY. 2020, 91.
China's rural human settlements: Qualitative evaluation, quantitative analysis and policy implications.Zhao, Xia, Sun, Huibo, Chen, Bin, et al. .ECOLOGICAL INDICATORS. 2019, 105, 398-405.
Interaction between Oil Price and Investor Sentiment: Nonlinear Causality, Time- Varying Influence, and Asymmetric Effect.He, Zhifang, Zhou, Fangzhao, Xia, Xiaohua, et al. .EMERGING MARKETS FINANCE AND TRADE. 2019, 55(12), 2756-2773.
Interaction between Oil Price and Investor Sentiment: Nonlinear Causality, Time- Varying Influence, and Asymmetric Effect.He, Zhifang, Zhou, Fangzhao, Xia, Xiaohua, et al. .EMERGING MARKETS FINANCE AND TRADE. 2019, 55(12), 2756-2773.
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Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence
本站小编 Free考研/2020-04-17
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