Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index
- Resource Type
- Authors
- Xingguo Luo; Shihua Qin
- Source
- Finance Research Letters. 20:29-34
- Subject
- 050208 finance
Financial economics
Realized variance
020209 energy
05 social sciences
02 engineering and technology
Monetary economics
Stock market index
Volatility swap
0502 economics and business
Financial crisis
0202 electrical engineering, electronic engineering, information engineering
Economics
Volatility smile
Stock market
Volatility (finance)
health care economics and organizations
Finance
Stock (geology)
- Language
- ISSN
- 1544-6123
This paper investigates the impact of oil price shocks and oil price volatility shocks on the Chinese stock market index and five sector returns. In addition to the realized volatility, the paper uses the CBOE crude oil volatility index (OVX) to proxy for the oil price volatility. The empirical results suggest that oil price shocks positively affect Chinese stock returns. More importantly, evidence indicates that the OVX shocks have significant and negative effects on the Chinese stock market while the impact of realized volatility shocks is negligible, especially after the recent financial crisis.