Asymmetric Impact of Oil Price Shock on Stock Market in China: A Combination Analysis Based on SVAR Model and NARDL Model |
| |
Authors: | Chunyan Hu Xinheng Liu Bin Pan Bin Chen |
| |
Institution: | 1. School of Public Administration, Central South University, Changsha, China;2. School of Finance, Wenzhou University, Wenzhou, China;3. Laboratory of Systems Ecology and Sustainability Science, College of Engineering, Peking University, Beijing, China |
| |
Abstract: | This article integrates the SVAR model and nonlinear ARDL (NARDL) model to analyze the long-run and short-run asymmetric effect of structural oil price shocks on the Chinese stock market. We reveal that the demand-side shocks of oil price have a significant impact on the Chinese stock market in both short and long run, but the supply shock is an exception. In terms of asymmetric nature, there is no evidence of asymmetric impact when it refers to the supply shock and the oil-specific demand shock on stock market, and only the aggregate demand shock has asymmetric effect in short run. |
| |
Keywords: | asymmetric effect Chinese stock market NARDL model oil price shock SVAR model |
|
|