Reinvestigating the Oil Price-Stock Market Nexus： Evidence from Chinese Industry Stock Returns  

作　　者：Sheng Fang Xinsheng Lu Paul G. Egan 

机构地区：[1]School of Economics and Management, Tongji University, China [2]Business School, University of Jinan, China [3]School of Economics and Finance, University of St. Andrews, UK

出　　处：《China & World Economy》2018年第3期43-62,共20页中国与世界经济（英文版）

基　　金：The authors acknowledge the financial support of the National Natural Science Foundation of China （No. 71173088）.

摘　　要：The present study investigates the influence of international oil prices on China＇s stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal chemical mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.The present study investigates the influence of international oil prices on China＇s stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal chemical mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.

关 键 词：China＇s stock market international oil prices regime switching structural break 

分 类 号：F424[经济管理—产业经济] F746.41