Template-Type: ReDIF-Article 1.0 
Author-Name: Joel Ede Owuru
Author-Email:  joel.owuru@augustineuniversity.edu.ng
Author-Workplace-Name:  Department of Economics, Augustine University, Nigeria
Title: Testing the Asymmetric Response of China’s Stock Returns to Oil Price Dynamics - Does Fear of COVID-19 Matter?
Abstract:  This study investigates the response of Chinese stock returns to oil prices amidst the COVID-19 pandemic using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results indicate that oil price and the COVID-19 Global Fear Index (GFI), respectively, affect stock returns positively and negatively in the short run. While oil price asymmetry matters, Chinese stock returns do not respond to oil price changes and GFI in the long run.
Classification-JEL:  G15,I10
Keywords:  nonlinear ardl,linear ardl,stock return,oil price,global fear index
Journal:  Asian Economics Letters
Pages: 1-6
Volume: 2
Issue: 3
Year:  2021
DOI:  2021/10/06
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/24139-testing-the-asymmetric-response-of-china-s-stock-returns-to-oil-price-dynamics-does-fear-of-covid-19-matter.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:43