Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism

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• 作者：Elie Bouri^a ; ^{eliebouri@usek.edu.lb} ; Qian Chen^b ; ^{water111716@hotmail.com} ; Donald Lien^c ; ^{Don.Lien@utsa.edu} ; Xin Lv^d ; ^e ; ^f ; ^{lvxin2311@bit.edu.com}
• 关键词：G58 ; G12 ; G15
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：48
• 期：Complete
• 页码：34-48
• 全文大小：891 K
• 卷排序：48

文摘

China took a unique path to the market-oriented reform of its refined oil pricing mechanism on March 27, 2013. Applies the cross-correlation function (CCF) approach to test the linkages between the international oil market and the Chinese stock market. The causality-in-mean between the two markets strengthened after the reform of March 27, 2013. The causality-in-variance almost disappeared after March 27, 2013.