Oil Shocks and their Impact on Energy Related Stocks in China

This paper contributes to the current literature by adopting dynamic conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in China. After conditioning for structural instability, the results show a much stronger relation following the 2008 financial crisis. We argue that this reflects the fact that investors in the Chinese stock market, especially for energy related stocks, are more sensitive to the shocks in international crude oil market.