Responses of international stock markets to oil price surges: a regime-switching perspective

We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries. Our model accounts for the joint effects of the West Texas Intermediate (WTI) and Brent oil markets and simultaneously captures asymmetry, volatility persistence and regime shifts contained in the underlying financial data. We find that stock market returns strongly exhibit a regime-switching behaviour, but they react differently to the increases in the price of oil. More precisely, the conditional volatility of studied stock markets during the bear market phases is found to be less affected by oil price surges than during the bull market phases. Whether the effects of oil shocks are positive or negative depends greatly on the degree of reliance on imported oil, the share of the cost of oil in the national income and the degree of improvement in energy efficiency of a given country. Finally, the relatively opposite effects of the WTI and Brent oil markets suggest the potential of substitution between them as well as the necessity of a diversification strategy of oil supply sources.     

房地产价格对通货膨胀预期具有指示性作用吗?——来自中国1996～2010年的经验证据

房地产价格对于未来的通货膨胀是否有指示性作用,关系到货币政策是否需要对房地产价格提前做出反应。采用1996年1月至2010年4月的月度数据,使用多步向前的方法对未来的通货膨胀进行样本外预测。结果显示,在房地产价格下跌时期,其指示性作用大于房地产价格的上涨时期。此外,某些房地产价格指标在某些时间段能够有效的提高预测效果,但是哪一种价格指标可以提高预测效果,没有一定的规律性。这说明,目前还不能将房地产价格指标纳入通货膨胀的预测体系中。     

Return threshold model analysis of two stock markets： Evidence study of Italy and Germany＇s stock returns

This paper discusses the model construction and the association between the Italy and the Germany＇s stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student＇s t distribution to analyze the proposed model. The empirical results show that the two stock markets are mutually affected each other, and the dynamic conditional correlation （DCC） and the bivariate asymmetric-GARCH （1, 2） model is appropriate in evaluating the relation between them. The empirical result also indicates that Italy and Germany＇s stock markets show a positive relationship. The average value of correlation coefficient equals to 0.8424, which implies that the two stock markets return volatility have a synchronized influence on each other. In addition, the empirical result also shows that there is an asymmetrical effect between Italy and the Germany＇s stock markets, and demonstrates that the good news and bad news of the stock returns＇ volatility will produce the different variation risks for Italy and the Germany＇s stock price markets.     

Understanding the recent performance of China's stock market

Employing time-series extrapolation and an out-of-sample forecast based on a bivariate VAR (vector auto-regression), we argue that the current boom of China's stock market represents a recovery that corrects the previous divergence of the stock market from the aggregate economic performance. Nevertheless, we caution that the speed of the recent rise in stock prices is alarming. If the current speed continues, then the stock market will soon become overheated in the sense that the level of stock prices will exceed the level justified by economic fundamentals.     

When Do Opening Stock Returns Tend to be Higher?

Abstract

In this study, I make an effort to formulate a trading rule that would make use of some systematic interday patterns in individual stocks’ opening returns. I analyze intraday price data on all the stocks that were S&P 500 Index constituents during the period from 1993 to 2012. I document that if the general market direction of the previous day's opening session is controlled for, then a stock's opening return tends to be higher if, on the previous trading day, its opening return was relatively high (either positive, or higher than the same day's opening market return) and its open-to-close return was relatively low (either non-positive, or lower than or equal to the same day's open-to-close market return). Finally, for the sampling period, I construct two different investment portfolios involving a long position in the stocks on the days when, according to the findings, their opening returns are expected to be high and a short position in the stocks on the days when, according to the findings, their opening returns are expected to be low. Both portfolios are found to yield significantly positive returns, providing evidence for the practical applicability of the documented patterns in opening stock prices.     

Impact of state-dependent oil price on US stock returns using local projections

In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973–2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.     

A股市场上的“中石油魔咒”现象及其解释

文章针对A股市场上流传甚广的"中石油魔咒"现象,首次从基本面角度进行了解释,认为造成这一现象的根本原因是国际原油价格对我国股票市场存在显著的负向溢出效应,即当国际原油价格上涨时,对中石油个股产生利好,但对整体宏观经济却构成利空,因而中石油股票价格上涨,整个股票市场却会下跌。进一步研究还发现,这种负向溢出效应具有非线性特征,表现为国际原油价格上涨对股票市场的打压力度要大于其下跌对股票市场的提升力度。这提醒A股投资者相对于国际原油价格下跌,要更加关注国际原油价格上涨带来的投资风险。     

How do great shocks influence the correlation between oil and international stock markets?

We investigate the impacts of great shocks (2003 Iraq War and 2008 Financial Crisis) on the correlations between oil and US/China stock markets, utilizing a novel MADCC (mixed asymmetry dynamic conditional correlation) model. This model successfully captures the coexistence of opposite signed asymmetries. We find that great shocks indeed increased the correlations. Further, results from the news impact surfaces indicate that correlations between oil and stock markets are higher to joint negative shocks; however, correlation between stock markets has stronger response to joint positive shocks.     

国际石油价格冲击研究综述

国际石油价格剧烈波动对2007年世界金融危机爆发起到了推波助澜的作用,并直接影响当前全球经济复苏进程。本文从石油价格及其形成机制、石油价格冲击对实体经济和金融市场的影响以及应对策略等多个方面对石油价格冲击研究文献进行梳理。已有文献多以发达国家为研究对象,在当前全球经济复苏的背景下,结合当前国际石油市场状况与我国国情,提出有价值的研究方向,这是本文拟达到的目的。     

Educational attainment,growth and poverty reduction within the MDG framework: simulations and costing for the Peruvian case

Using quarterly data, 1999:Q2–2009:Q3, we empirically examine the key macro determinants of housing prices for China’s residential market. Employing Granger causality and Vector Auto-Regression (VAR) models, we find that there exists strong bivariate causality between house price increases and its determinants. The variance decomposition suggests that speculative factors reflected by past increases in real house price contribute a relatively larger proportion to house price rises relative to fundamental factors.