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.