The Impact of International Petroleum Price on the Industry Stock Performance in China

• Main Authors: Yen-ting Huang, 黃宇廷
• Other Authors: Ke-shin Tsuei
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/75094850184219708256

碩士 === 南華大學 === 管理經濟學系經濟學碩士班 === 97 === 　　The primary aim of this paper is to investigate the sensitivity of Chinese industry equity returns to oil price shocks. We use the two factor pricing model to examine the effect of oil price changes on realized stock index returns with beta risk controlled for 21 Chinese industries. The sample period covers December 2002 to February 2009 with weekly frequency. The industry that has a statistically significant positive return sensitivity to the oil price factor is Mining. Conversely, the industries that have a statistically significant negative sensitivity to the oil price factor are Agriculture, Real estate, Textile and Apparel, and Petrochemical. Furthermore, analysis demonstrates that oil price increases and decreases have an asymmetric impact on the equity markets.