Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level

Physica A: Statistical Mechanics and its Applications

Volumn 434, Issue , 2015, Pages 13-24

  Huang, Shupei ^a,b   An, Haizhong ^a,b,c   Gao, Xiangyun ^a,b   Huang, Xuan ^a,b  

^a CHINA UNIVERSITY OF GEOSCIENCES   (China)

^b China University of Geosciences Beijing)   (China)

^c China University of Geosciences   (China)

Author keywords

Crude oil price; Stock returns; Vector auto regression model; Wavelet

Indexed keywords

COMMERCE; INVESTMENTS; PETROLEUM INDUSTRY; REGRESSION ANALYSIS; TELECOMMUNICATION INDUSTRY; WAVELET TRANSFORMS;

GRANGER CAUSALITY; MULTI-SCALE DYNAMICS; MULTI-SCALE INFORMATIONS; OIL PRICE SHOCKS; STOCK RETURNS; TELECOMMUNICATION SECTOR; VECTOR AUTO REGRESSION MODELS; WAVELET;

CRUDE OIL PRICE;

EID: 84929074421     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2015.03.059     Document Type: Article

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