Journal
ENERGY ECONOMICS
Volume 102, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.eneco.2021.105495
Keywords
Asymmetric and nonlinear effects; COVID-19 pandemic; Oil price uncertainty; Semiparametric additive quantile regression; Stock returns
Categories
Funding
- Chinese Ministry of Education Humanities and Social Sciences Project [16YJC790040]
- Science and Technology Support Plan of Youth Innovation Team in Colleges and Universities of Shandong Province in China [2019RWE013]
Ask authors/readers for more resources
This paper provides new insights into the relationship between the crude oil volatility index (OVX) and Chinese stock returns by refining and extending the latest research. Results show that the implications of OVX shocks on stock returns are nonlinear and dynamic, exhibiting high asymmetry and heterogeneity in bearish markets.
This paper provides new insights into the relationship between the crude oil volatility index (OVX) and Chinese stock returns by refining and extending the latest research of Xiao et al. (2018). Firstly, we refined the evaluation of the impact of OVX changes on stock returns by introducing nonparametric function setting, a technique robust to parametric form assumptions of Xiao et al. (2018). Secondly, we extend the original data sets from May 10, 2007, to April 9, 2020, to assess the consistency of the estimated results. Thirdly, we apply the most recent econometric model, the semiparametric additive quantile regression proposed by Fasiolo et al. (2020), instead of the linear quantile regression used in Xiao et al. (2018) to explore the potential nonlinear relationships between OVX shocks and stock returns from the asymmetric and heterogeneous perspectives. Fourthly, we investigate whether the COVID-19 pandemic mediated the OVX-stock connection, because this pandemic has had a tremendous impact on global financial markets. Our results reveal that the implications of OVX shocks on stock returns are nonlinear and dynamic and exhibit high asymmetry and heterogeneity. In particular, the positive OVX changes have a U-shaped effect on Chinese stock rewards in a bearish market, rather than the linear negative effect reported by Xiao et al. (2018). Moreover, the COVID-19 pandemic amplified the consequences of the positive and negative OVX variations on Chinese stock returns.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available