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The Impact of International Crude Oil Prices on Energy Stock Prices: Evidence From China

Energy Research Letters (2021) 2(4)
DOI: 10.46557/001c.28133
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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.

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CITATION STYLE

APA

Jiang, M., & Kong, D. (2021). The Impact of International Crude Oil Prices on Energy Stock Prices: Evidence From China. Energy Research Letters, 2(4). https://doi.org/10.46557/001c.28133

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