Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model

This study scrutinized the asymmetric impact of oil prices on stock returns in Shanghai stock exchange with data (January 2000 to December 2018) by using asymmetric ARDL model. The examined results of asymmetric autoregressive distributed lag model indicate that cointegration exists between the oil...

Full description

Saved in:
Bibliographic Details
Published in:PloS one 2019-06, Vol.14 (6), p.e0218289-e0218289
Main Authors: Khan, Muhammad Kamran, Teng, Jian-Zhou, Khan, Muhammad Imran
Format: Article
Language:English
Subjects:
Autoregressive models
Biology and Life Sciences
China
Commerce - economics
Crude oil
Crude oil prices
Econometrics
Economic aspects
Economic conditions
Economic development
Economic growth
Economic models
Economics - trends
Energy economics
Engineering and Technology
Financial analysis
Financial markets
Humans
Investments - economics
Models, Statistical
Oil
Oils - economics
Petroleum
Physical Sciences
Prices and rates
Profits
Recessions
Return on investment
Securities industry
Securities markets
Skewed distributions
Social Sciences
Statistics
Stock exchanges
Stock markets
Stock prices
Stocks
Tourism
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This study scrutinized the asymmetric impact of oil prices on stock returns in Shanghai stock exchange with data (January 2000 to December 2018) by using asymmetric ARDL model. The examined results of asymmetric autoregressive distributed lag model indicate that cointegration exists between the oil prices and the stock returns. Results of asymmetric autoregressive distributed lag model confirm that both in the long run and the short run increase in oil prices have a negative impact on the stock returns of Shanghai stock exchange while decrease in the oil prices has a positive impact on the stock returns. The examined results of this study recommend that oil prices dynamically contribute incompetence in stock prices in such a way that impact the profits of investors in stock market.
ISSN:1932-6203
1932-6203
DOI:10.1371/journal.pone.0218289