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Stock market reactions to different types of oil shocks: Evidence from China
Author(s) -
Wong Jin Boon
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22176
Subject(s) - demand shock , oil supply , stock (firearms) , economics , oil price , china , supply and demand , stock market , supply shock , monetary economics , empirical evidence , econometrics , financial economics , macroeconomics , monetary policy , engineering , mechanical engineering , paleontology , philosophy , epistemology , horse , biology , political science , law
This study utilizes a novel method of isolating oil‐price shocks into demand and supply driven contributors to analyze their impacts on stock returns in China. Empirical results suggest that oil shocks related to supply limitations generate positive abnormal stock returns for industries that can help alleviate these constraints. Conversely, demand‐driven oil shocks have mixed effects on industries which may relate to the uncertain impact of increasing demand for goods and higher production costs. These results are robust to alternative specifications of country‐specific control factors and provide evidence that different types of oil shocks have distinctive impacts on industries.