Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China

This paper applies the BEKK-GARCH model to construct a comparative analysis of the heterogeneous relationship between the oil prices and stock prices of oil-related firms in the US and China. We find the following results. First, the effects of oil prices on stock returns depend heavily on the subsector category of an oil firm. Second, the effect from stock returns to oil prices displays distinguished country-specific patterns. The stock returns...