Journal ArticleDOI
Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression
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In this article, the authors investigated the impact of crude oil shocks and China's economic policy uncertainty on stock returns at different locations on the return distributions, based on monthly data from 1995:1 to 2016:3.About:
This article is published in Energy Economics.The article was published on 2017-10-01. It has received 222 citations till now. The article focuses on the topics: Stock market bubble & Stock exchange.read more
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Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index
TL;DR: This article investigated the impacts of oil price uncertainty on the aggregate and sectoral stock returns in China by using a quantile regression, which can provide a more detailed examination under different market conditions Meanwhile, the asymmetric effects of uncertainty shocks are also examined by using the positive and negative changes of the OVX.
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How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques
TL;DR: Findings prove that the pandemic has been largely responsible for risks transmission across various commodity and financial markets and has significantly raised investors’ and policy uncertainties and immensely altered global financial cycle which in turn results in global flows of capital, and movements in the prices of assets across different financial markets.
Journal ArticleDOI
Did Congress trade ahead? Considering the reaction of US industries to COVID-19.
TL;DR: The reactions of US industries to sudden COVID-related news announcements are assessed, concomitantly with an analysis of levels of investor attention to COVID, and results suggest that, at an industry-level, for legislator trading to be “ahead of the market” it needed to have been done prior to February 26.
Journal ArticleDOI
Oil prices and economic policy uncertainty: evidence from a nonparametric panel data model
TL;DR: This article examined the relationship between oil prices and economic policy uncertainty in G7 countries using a nonparametric panel data technique that allows the trend and coefficient functions to evolve as unknown time-varying functional forms.
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Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective
Xunxiao Wang,Yudong Wang +1 more
TL;DR: The authors examined the frequency dynamics of volatility spillovers between crude oil and China's stock markets in a spectral representation framework of generalized forecast error variance decomposition using sectoral stock indices data and found evidence of total volatility spillover driven mainly by short-term spillovers.
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Posted Content
The Impact of Uncertainty Shocks
TL;DR: In this paper, a model with a time varying second moment is proposed to simulate a macro uncertainty shock, which produces a rapid drop and rebound in aggregate output and employment, which occurs because higher uncertainty causes firms to temporarily pause their investment and hiring.
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Oil and the Macroeconomy since World War II
TL;DR: The authors found that all but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum.
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Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Lutz Kilian,Lutz Kilian +1 more
TL;DR: In this paper, a structural decomposition of the real price of crude oil in four components is proposed: oil supply shocks driven by political events in OPEC countries; other oil supply shock; aggregate shocks to the demand for industrial commodities; and demand shocks that are specific to the crude oil market.
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Introductory Econometrics for Finance
TL;DR: The third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time as discussed by the authors.
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A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
TL;DR: In this article, the effective bid-ask spread is measured by Spread = 2−cov where cov is the first-order serial covariance of price changes, and is shown empirically to be closely related to firm size.