Template-Type: ReDIF-Article 1.0 
Author-Name: Mengting Jiang
Author-Name: Dongmin Kong
Author-Email:  jiangmengting@hust.edu.cn
Author-Workplace-Name: School of Economics, Huazhong University of Science and Technology, China
Title: The Impact of International Crude Oil Prices on Energy Stock Prices - Evidence From China
Abstract:  Based on a vector autoregressive model and a dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model, this study explores the relation between the international crude oil market and the Chinese energy stock market. The findings suggest a positive one-way spillover effect of international crude oil returns on China’s energy stock returns. Furthermore, this correlation between the two markets is time varying.
Classification-JEL:  Q41,Q47,N70,N75
Keywords:  International oil price,energy stock market,dcc-garch,china
Journal:  Energy RESEARCH LETTERS
Pages: 1-4
Volume: 2
Issue: 4
Year:  2021
DOI:  2021/10/28
File-URL:  https://erl.scholasticahq.com/api/v1/articles/28133-the-impact-of-international-crude-oil-prices-on-energy-stock-prices-evidence-from-china.pdf
File-Format:  Application/pdf
Handle: RePEc:ayb:jrnerl:49