Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index

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成果类型：

期刊论文

作者：

Xiao, Jihong;Zhou, Min;Wen, Fengming;Wen, Fenghua*

通讯作者：

Wen, Fenghua

作者机构：

[Wen, Fenghua; Xiao, Jihong] Cent S Univ, Sch Business, Changsha 410083, Hunan, Peoples R China.

[Zhou, Min] Hunan Univ, Sch Architecture, Changsha 410082, Hunan, Peoples R China.

[Wen, Fengming] Cent South Univ Forestry & Technol, Period Soc, Changsha 410004, Hunan, Peoples R China.

[Wen, Fenghua] Univ Windsor, Supply Chain & Logist Optimizat Res Ctr, Fac Engn, Windsor, ON, Canada.

[Wen, Fenghua] Univ Essex, Ctr Computat Finance & Econ Agents, Colchester CO4 3SQ, Essex, England.

通讯机构：

[Wen, Fenghua] C

Cent S Univ, Sch Business, Changsha 410083, Hunan, Peoples R China.

语种：

英文

关键词：

Chinese stock market;Oil price uncertainty;Oil volatility index;Quantile regression;Refined oil pricing reform

期刊：

Energy Economics

ISSN：

0140-9883

年：

2018

卷：

页码：

777-786

DOI：

10.1016/j.eneco.2018.07.026

基金类别：

The authors would like to express their gratitude to the support given by the National Natural Science Foundation of China (Nos. 71371195 , 71431008 , 71633006 ). The authors also appreciate the insightful and helpful comments and suggestions from the editor of this journal and the anonymous reviewers.

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本校为其他机构

摘要：

The crude oil volatility index (OVX) is a direct and more accurate measure of oil price uncertainty. This paper uses this kind of implied volatility index of oil prices to investigate the impacts of oil price uncertainty on the aggregate and sectoral stock returns in China. This issue is resolved by using a quantile regression, which can provide a more detailed examination under different market conditions. Meanwhile, the asymmetric effects of uncertainty shocks are also examined by using the positive and negative changes of the OVX. Furthermor...

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Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index

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