Response pattern of stock returns to international oil price shocks: From the perspective of China's oil industrial chain

doi:10.1016/j.apenergy.2015.12.060

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	Response pattern of stock returns to international oil price shocks: From the perspective of China's oil industrial chain
	Li, Qiming 1; Cheng, Ke 1; Yang, Xiaoguang1,2
	2017
发表期刊	APPLIED ENERGY
ISSN	0306-2619
卷号	185 页码:1821-1831
摘要	Based on a Structural Vector Autoregression (SVAR) model, this paper decomposes oil price changes into four components: oil supply shocks, global demand shocks, domestic demand shocks and precautionary demand shocks. Then, this paper investigates the impacts of these oil price shocks on the stock returns of China's listed companies in the oil industrial chain using data from 2009 to 2014. The empirical results show that the returns of the listed companies in the whole oil industrial chain benefit from appreciation in the oil price, the impacts of oil supply shocks and precautionary demand shocks are the most significant, and there is a structural change in the impacts of oil price shocks in 2012. Among the four oil price shocks, the impacts of oil supply shocks and precautionary demand shocks are the most significant. Moreover, there is a gradual increase in the aggregate contributions of oil price shocks to the changes in stock returns. A robustness check with different global crude oil prices and a different industry classification standard confirms that the above empirical results are robust. The empirical results of the paper imply that stock investors, oil-related companies and the government need pay close attention to sudden changes that may affect current and future oil availability and pay greater attention to the stocks at the two ends of the oil industrial chain. (C) 2016 Published by Elsevier Ltd.
关键词	Oil price shock China's oil sector Industrial chain Stock returns
DOI	10.1016/j.apenergy.2015.12.060
语种	英语
WOS研究方向	Energy & Fuels ; Engineering
WOS类目	Energy & Fuels ; Engineering, Chemical
WOS记录号	WOS:000390494800083
出版者	ELSEVIER SCI LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/24364
专题	系统科学研究所
通讯作者	Yang, Xiaoguang
作者单位	1.China Univ Petr, Sch Business Adm, Beijing 102249, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Li, Qiming,Cheng, Ke,Yang, Xiaoguang. Response pattern of stock returns to international oil price shocks: From the perspective of China's oil industrial chain[J]. APPLIED ENERGY,2017,185:1821-1831.
APA	Li, Qiming,Cheng, Ke,&Yang, Xiaoguang.(2017).Response pattern of stock returns to international oil price shocks: From the perspective of China's oil industrial chain.APPLIED ENERGY,185,1821-1831.
MLA	Li, Qiming,et al."Response pattern of stock returns to international oil price shocks: From the perspective of China's oil industrial chain".APPLIED ENERGY 185(2017):1821-1831.