Oil price uncertainty and sectoral stock returns in China: A time-varying approach
利用1997年1月至2014年2月的周数据，研究油价不确定性对中国十个行业股票收益的时变影响，发现油价波动在需求冲击时期对多数行业有正向影响，但在供应冲击时期对金融和油气行业有负向影响。
This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997–February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, and Oil and Gas sectors. The latter two sectors are found to exhibit a negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price uncertainty appears to be insignificant during periods with precautionary demand shocks.