Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index

作者：Xiao, Jihong; Zhou, Min; Wen, Fengming; Wen, Fenghua^*

来源：Energy Economics, 2018, 74: 777-786.

DOI：10.1016/j.eneco.2018.07.026

• Oil price uncertainty
• Chinese stock market
• Oil volatility index
• Refined oil pricing reform
• Quantile regression

The crude oil volatility index (OVX) is a direct and more accurate measure of oil price uncertainty. This paper uses this kind of implied volatility index of oil prices to investigate the impacts of oil price uncertainty on the aggregate and sectoral stock returns in China. This issue is resolved 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. Furthermore, we assess whether the reform of March 27, 2013 affected the OVX-stock nexus since this reform was a major step to relax the control of domestic oil prices in China. Our results reveal that OVX changes mainly show significantly negative effects on the aggregate and sectoral stock returns in the bearish market. In particular, these effects depend largely on the positive shocks of the OVX rather than the negative shocks of the OVX. Moreover, the reform of March 27, 2013 decreased the impacts of the positive OVX shocks on Chinese stock returns.

• 出版日期2018-8
• 单位湖南大学; 中南大学