How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach |
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| Institution: | 1. Department of Information Management and Finance, National Yang Ming Chiao Tung University, Hsinchu, Taiwan;2. Department of Finance, Feng Chia University, Taichung, Taiwan;1. Indian Statistical Institute, Kolkata, India;2. Centre for Studies in Social Sciences, Kolkata, India;3. Indian Institute of Foreign Trade (IIFT), Kolkata Campus, India;4. CESifo, Germany;5. Faculty of Business, The Hong Kong Polytechnic University, Hong Kong;1. Korea Capital Market Institute, South Korea;2. Bank of Korea, South Korea;3. The Reserve Bank of New Zealand, New Zealand; Centre for Applied Macroeconomic Analysis, Australia |
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| Abstract: | We revisit the links of real exchange rate, oil price and stock market price for China using Bayesian Multivariate Quantile_on_Quantile with GARCH approach over the period of September 14, 2001 to June 17, 2022 (a total of 4051 days). Results indicate both the links between stock price and oil price and between stock price and exchange rate varying under different combinations of quantiles. GARCH model also indicate that yesterday news and persistence measures varying with current conditional variance under different quantiles. We further estimate half-life of a shock to our whole markets and find out the half-life of a shock range from 0.415 to 4.015 days. Result not found in previous study. Our study has important policy implications for the investors, practitioners, and the government. |
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| Keywords: | Stock price Exchange rate Oil price Bayesian Quantile_on_Quantile GARCH |
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