유가충격과 주가 간의 관계

Relationship between Oil Shocks and Stock Prices Based on Panel VAR: Evidence from Sectoral Stock Markets in China

This paper empirically investigates the dynamic relationship between oil price and the Chinese stock market at the sectoral level from January 2004 to September 2013 using panel vector autoregression, impulse response functions and variance decomposition. Results indicate that there is no long-term equilibrium relationship between oil price and the Chinese stock market, but oil prices have short-term negative effects on Chinese stock prices for a couple of months after the shocks occur. Variance decomposition results indicate that stock prices have the highest contribution to the predictive variance decomposition of the stock price itself, but on the other hand, oil prices provide a small contribution.