Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval
The advent of the COVID-19 pandemic has markedly affected energy valuations and financial markets. As such, this article aims to scrutinize the dynamic interplay between stock market returns and crude oil prices, with a particular focus on China, factoring in the second-moment effect of volatility s...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2023-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2023/6695727 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850234673002708992 |
|---|---|
| author | Zhuoqi Teng Renhong Wu Yugang He |
| author_facet | Zhuoqi Teng Renhong Wu Yugang He |
| author_sort | Zhuoqi Teng |
| collection | DOAJ |
| description | The advent of the COVID-19 pandemic has markedly affected energy valuations and financial markets. As such, this article aims to scrutinize the dynamic interplay between stock market returns and crude oil prices, with a particular focus on China, factoring in the second-moment effect of volatility spillover. Employing an EGARCH process to model the leverage impact on returns’ volatility, the analysis utilizes daily data spanning from January 30, 2020, to August 30, 2022, and incorporates causality-in-mean and variance assessments. Empirical findings indicate that the QDII-LOF benchmark, representing oil prices, exerts a substantial influence on stock market returns. Nevertheless, the complete sample reveals no discernible spillover effects attributable to oil price fluctuations. These insights imply that the Chinese government’s actions should carefully weigh the ramifications of spillovers. Concurrently, investors are advised to attentively monitor the crude oil market when making portfolio allocation decisions. |
| format | Article |
| id | doaj-art-16695680c90d468bbcbee6038fd80a03 |
| institution | OA Journals |
| issn | 1607-887X |
| language | English |
| publishDate | 2023-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-16695680c90d468bbcbee6038fd80a032025-08-20T02:02:33ZengWileyDiscrete Dynamics in Nature and Society1607-887X2023-01-01202310.1155/2023/6695727Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic UpheavalZhuoqi Teng0Renhong Wu1Yugang He2College of Business AdministrationSchool of ManagementCollege of Liberal ArtsThe advent of the COVID-19 pandemic has markedly affected energy valuations and financial markets. As such, this article aims to scrutinize the dynamic interplay between stock market returns and crude oil prices, with a particular focus on China, factoring in the second-moment effect of volatility spillover. Employing an EGARCH process to model the leverage impact on returns’ volatility, the analysis utilizes daily data spanning from January 30, 2020, to August 30, 2022, and incorporates causality-in-mean and variance assessments. Empirical findings indicate that the QDII-LOF benchmark, representing oil prices, exerts a substantial influence on stock market returns. Nevertheless, the complete sample reveals no discernible spillover effects attributable to oil price fluctuations. These insights imply that the Chinese government’s actions should carefully weigh the ramifications of spillovers. Concurrently, investors are advised to attentively monitor the crude oil market when making portfolio allocation decisions.http://dx.doi.org/10.1155/2023/6695727 |
| spellingShingle | Zhuoqi Teng Renhong Wu Yugang He Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval Discrete Dynamics in Nature and Society |
| title | Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval |
| title_full | Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval |
| title_fullStr | Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval |
| title_full_unstemmed | Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval |
| title_short | Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval |
| title_sort | swings in crude oil valuations analyzing their bearing on china s stock market returns amid the covid 19 pandemic upheaval |
| url | http://dx.doi.org/10.1155/2023/6695727 |
| work_keys_str_mv | AT zhuoqiteng swingsincrudeoilvaluationsanalyzingtheirbearingonchinasstockmarketreturnsamidthecovid19pandemicupheaval AT renhongwu swingsincrudeoilvaluationsanalyzingtheirbearingonchinasstockmarketreturnsamidthecovid19pandemicupheaval AT yuganghe swingsincrudeoilvaluationsanalyzingtheirbearingonchinasstockmarketreturnsamidthecovid19pandemicupheaval |