| Currency exposures of the oil and natural gas stock prices in the Hushen-300 stock market： A nonlinear model approach |
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| 作者单位： | School of Finance, Shanghai University of Finance ＆ Economics, Shanghai 200083, China |
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| 摘 要： | The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model （CAPM） and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.
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| 关 键 词： | 石油 天然气 股票行市 汇率揭露 |
Currency exposures of the oil and natural gas stock prices in the Hushen-300 stock market： A nonlinear model approach |
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| Authors: | Yap Teck Lee |
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| Institution: | School of Finance, Shanghai University of Finance ＆ Economics, Shanghai 200083, China |
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| Abstract: | exchange rate exposures energy stock prices Hushen-300 stock market |
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| Keywords: | exchange rate exposures energy stock prices Hushen-300 stock market |
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