Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index

Volume: 74, Pages: 777 - 786
Published: Aug 1, 2018
Abstract
null null The crude oil volatility index (OVX) is a direct and more accurate measure of oil price uncertainty. This paper uses this kind of implied volatility index of oil prices to investigate the impacts of oil price uncertainty on the aggregate and sectoral stock returns in China. This issue is resolved by using a quantile regression, which can provide a more detailed examination under different market conditions. Meanwhile, the asymmetric...
Paper Details
Title
Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index
Published Date
Aug 1, 2018
Volume
74
Pages
777 - 786
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