The impact of global oil price shocks on China's stock returns: Evidence from the ARJI(-ht)-EGARCH model

Energy

Volumn 36, Issue 11, 2011, Pages 6627-6633

  Zhang, Chuanguo ^a,b   Chen, Xiaoqing ^a  

^a XIAMEN UNIVERSITY   (China)

^b Department of Obstetrics Gynecology   (United States)

Author keywords

Expected volatility; Oil price; Stock market

Indexed keywords

COMMERCE;

EGARCH MODELS; EXPECTED VOLATILITY; OIL PRICE SHOCKS; OIL PRICES; POSITIVE EFFECTS; STOCK MARKET; STOCK RETURNS;

COSTS;

ECONOMIC ANALYSIS; ENVIRONMENTAL ECONOMICS; NUMERICAL MODEL; OIL; RESEARCH WORK; STOCK MARKET; VOLATILE ELEMENT;

CHINA;

EID: 80655148884     PISSN: 03605442     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.energy.2011.08.052     Document Type: Article

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