Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - CESifo - 2014
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-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns...