The impact of macroeconomic news on stock returns of energy firms—evidence from China

The impact of macroeconomic news on stock returns of energy firms—evidence from China

This paper identifies the change point of stock returns of energy firms, and examines the impact of macroeconomic news on stock returns of energy firms. Our analysis used China’s A-share listed energy firms from January 2008 to December 2018. First, we use high-dimensional time series factor models...

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Bibliographic Details
Main Authors: Yaya Su, Gaoke Liao
Format: Article
Language:English
Published: AIMS Press 2019-08-01
Series:Green Finance
Subjects:
macroeconomic news
energy firms
stock return
change point
Online Access:https://www.aimspress.com/article/10.3934/GF.2019.3.297/fulltext.html

Internet

https://www.aimspress.com/article/10.3934/GF.2019.3.297/fulltext.html

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