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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/60964


    Title: Relationships between Oil Price Shocks and Stock Market: An Empirical Analysis from Greater China
    Authors: Fang,Chung-rou;Lin,Chu-Chia;Cheng,Hui-Pei
    Contributors: 政大經濟系
    Keywords: Oil price;Oil price shock;Stock market;Chinese stock market;Greater China
    Date: 2010-11
    Issue Date: 2013-09-16 17:32:30 (UTC+8)
    Abstract: Although a lot of the empirical research have studied the relationship between changes of oil price and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the Greater China region (China, Hong Kong, and Taiwan). Therefore, the main goal of this paper is to apply a detail monthly data from 1997/7 to 2008/9 to fill up this gap. As describe Kilian (2009), Kilian and Park (2008) the effect of U.S. stock market return, we find that the impact of oil price shocks on the Greater China stock prices has been mixed. Firstly, the effect in Taiwan stock market return is completely similar to the U.S. stock market does. Additionally, all three shocks have significantly positive impacts on Hong Kong stock return, which partially contrast to the effect of U.S. stock market. However, contrast to the effect in the U.S. stock market, we find that only global supply shock has a significantly positive impact on China stock return, but global demand shock and the oil specific demand shock have no significant impacts. The reason of no significant impacts is that the positive expectation effect of China’s fast economic growth may be almost decayed by the negative effect of precautionary demand driven effect. This result is also consistent with the previous Wang and Firth (2004) empirical findings that the segmented and integrated China stock market is mixed, and it’s implies the China stock market is “partially integrated” with the other stock markets and oil price shocks.
    Relation: China Economic Journal, 3(3), 241-154
    Data Type: article
    Appears in Collections:[經濟學系] 期刊論文

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