Testing the Asymmetric Response of China’s Stock Returns to Oil Price Dynamics: Does Fear of COVID-19 Matter?
نویسندگان
چکیده
This study investigates the response of Chinese stock returns to oil prices amidst COVID-19 pandemic using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results indicate that price Global Fear Index ( GFI ), respectively, affect positively negatively in short run. While asymmetry matters, do not respond changes long
منابع مشابه
The high-frequency asymmetric response of stock returns to monetary policy for high oil price events
a r t i c l e i n f o JEL classification: E52 G10 G14 Keywords: High oil price events Asymmetric impacts of monetary shocks Financing constraints This paper investigates whether a high oil price event that worsens the quality of a firm's balance sheet in turn provides an additional transmission channel to the stock market, which then affects stock returns. We examine the asymmetric impacts of m...
متن کاملThe Effect of Asymmetric Fluctuations of Exchange Rate and Oil Price on Stock Index of Tehran Stock Exchange
The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized...
متن کاملEffect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...
متن کاملReaction of Stock Market Index to Oil Price Shocks
T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...
متن کاملPrice Inflation and Stock Returns
This letter is intended to demonstrate that price inflation and stock returns display differing relationships depending on the measure of inflation used. Using data from 1966 – 2009, it appears that no correlation exists between any measure of price inflation and stock returns or dividend yield in the period 1983 – 2009. We do find a negative correlation between monetary inflation and dividend ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Asian economics letters
سال: 2021
ISSN: ['2652-8681']
DOI: https://doi.org/10.46557/001c.24139