Are There any Influences of Oil Prices to Chinese and American Stock Returns?
This paper tries to study the influences of international oil price to Chinese and American stock markets. We first eliminate the impacts of the calendar effect and the time trends on oil futures returns and stock market returns using Gallant, Rossi and Tachen's method combining with stepwise r...
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| creator | Jian-bao Chen Ting-ting Cheng Deng-ling Wang |
| description | This paper tries to study the influences of international oil price to Chinese and American stock markets. We first eliminate the impacts of the calendar effect and the time trends on oil futures returns and stock market returns using Gallant, Rossi and Tachen's method combining with stepwise regression method, and then do quantile regression analysis according to the adjusted data. The empirical results are summarized as follows: the influences of oil futures returns to American stock market returns are significant at quantiles below 0.06 and from 0.74 to 0.80, but not significant at other quantiles; the influences of oil futures returns to Shanghai and Shenzhen stock market returns are not significant. The second phenomenon should be paid attention by Chinese stock investors. |
| doi_str_mv | 10.1109/CSO.2009.163 |
| format | Conference Proceeding |
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We first eliminate the impacts of the calendar effect and the time trends on oil futures returns and stock market returns using Gallant, Rossi and Tachen's method combining with stepwise regression method, and then do quantile regression analysis according to the adjusted data. The empirical results are summarized as follows: the influences of oil futures returns to American stock market returns are significant at quantiles below 0.06 and from 0.74 to 0.80, but not significant at other quantiles; the influences of oil futures returns to Shanghai and Shenzhen stock market returns are not significant. The second phenomenon should be paid attention by Chinese stock investors.</description><identifier>ISBN: 9780769536057</identifier><identifier>ISBN: 0769536050</identifier><identifier>DOI: 10.1109/CSO.2009.163</identifier><identifier>LCCN: 2009900360</identifier><language>eng</language><publisher>IEEE</publisher><subject>Calendars ; Costs ; Fluctuations ; Gold ; Macroeconomics ; Petroleum ; Quantile Regression ; Raw materials ; Regression analysis ; Returns ; Statistics ; Stock markets</subject><ispartof>2009 International Joint Conference on Computational Sciences and Optimization, 2009, Vol.2, p.425-428</ispartof><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://ieeexplore.ieee.org/document/5193987$$EHTML$$P50$$Gieee$$H</linktohtml><link.rule.ids>309,310,780,784,789,790,2056,27924,54919</link.rule.ids><linktorsrc>$$Uhttps://ieeexplore.ieee.org/document/5193987$$EView_record_in_IEEE$$FView_record_in_$$GIEEE</linktorsrc></links><search><creatorcontrib>Jian-bao Chen</creatorcontrib><creatorcontrib>Ting-ting Cheng</creatorcontrib><creatorcontrib>Deng-ling Wang</creatorcontrib><title>Are There any Influences of Oil Prices to Chinese and American Stock Returns?</title><title>2009 International Joint Conference on Computational Sciences and Optimization</title><addtitle>CSOP</addtitle><description>This paper tries to study the influences of international oil price to Chinese and American stock markets. We first eliminate the impacts of the calendar effect and the time trends on oil futures returns and stock market returns using Gallant, Rossi and Tachen's method combining with stepwise regression method, and then do quantile regression analysis according to the adjusted data. The empirical results are summarized as follows: the influences of oil futures returns to American stock market returns are significant at quantiles below 0.06 and from 0.74 to 0.80, but not significant at other quantiles; the influences of oil futures returns to Shanghai and Shenzhen stock market returns are not significant. The second phenomenon should be paid attention by Chinese stock investors.</description><subject>Calendars</subject><subject>Costs</subject><subject>Fluctuations</subject><subject>Gold</subject><subject>Macroeconomics</subject><subject>Petroleum</subject><subject>Quantile Regression</subject><subject>Raw materials</subject><subject>Regression analysis</subject><subject>Returns</subject><subject>Statistics</subject><subject>Stock markets</subject><isbn>9780769536057</isbn><isbn>0769536050</isbn><fulltext>true</fulltext><rsrctype>conference_proceeding</rsrctype><creationdate>2009</creationdate><recordtype>conference_proceeding</recordtype><sourceid>6IE</sourceid><sourceid>RIE</sourceid><recordid>eNotjD1PwzAYhC2hSkDJxsbiP5Dw2o7teEJRBLRSURAtc-X4QzW0DorTof-eRLDc6bk7HUL3BApCQD0227agAKoggl2hTMkKpFCcCeBygW7nSgFMeI2ylL4AgCgheUlv0Fs9OLw7uEl1vOB19Mezi8Yl3HvchiN-H8JMY4-bQ4guzTuL65Obch3xduzNN_5w43mI6ekOLbw-Jpf9-xJ9vjzvmlW-aV_XTb3JA5F8zI01xvpOV51inIBVgkPHgTpGqOLClkqXRggvvNaypNJ3hjIJ3tuOC19KtkQPf7_BObf_GcJJD5c9J4qpSrJfVwhNUQ</recordid><startdate>200904</startdate><enddate>200904</enddate><creator>Jian-bao Chen</creator><creator>Ting-ting Cheng</creator><creator>Deng-ling Wang</creator><general>IEEE</general><scope>6IE</scope><scope>6IL</scope><scope>CBEJK</scope><scope>RIE</scope><scope>RIL</scope></search><sort><creationdate>200904</creationdate><title>Are There any Influences of Oil Prices to Chinese and American Stock Returns?</title><author>Jian-bao Chen ; Ting-ting Cheng ; Deng-ling Wang</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-i175t-cdccdfba8b93510d9650b502e312956d49a4c66f6faa7427fbc2370ffdb56f473</frbrgroupid><rsrctype>conference_proceedings</rsrctype><prefilter>conference_proceedings</prefilter><language>eng</language><creationdate>2009</creationdate><topic>Calendars</topic><topic>Costs</topic><topic>Fluctuations</topic><topic>Gold</topic><topic>Macroeconomics</topic><topic>Petroleum</topic><topic>Quantile Regression</topic><topic>Raw materials</topic><topic>Regression analysis</topic><topic>Returns</topic><topic>Statistics</topic><topic>Stock markets</topic><toplevel>online_resources</toplevel><creatorcontrib>Jian-bao Chen</creatorcontrib><creatorcontrib>Ting-ting Cheng</creatorcontrib><creatorcontrib>Deng-ling Wang</creatorcontrib><collection>IEEE Electronic Library (IEL) Conference Proceedings</collection><collection>IEEE Proceedings Order Plan All Online (POP All Online) 1998-present by volume</collection><collection>IEEE Xplore All Conference Proceedings</collection><collection>IEEE Electronic Library (IEL)</collection><collection>IEEE Proceedings Order Plans (POP All) 1998-Present</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Jian-bao Chen</au><au>Ting-ting Cheng</au><au>Deng-ling Wang</au><format>book</format><genre>proceeding</genre><ristype>CONF</ristype><atitle>Are There any Influences of Oil Prices to Chinese and American Stock Returns?</atitle><btitle>2009 International Joint Conference on Computational Sciences and Optimization</btitle><stitle>CSOP</stitle><date>2009-04</date><risdate>2009</risdate><volume>2</volume><spage>425</spage><epage>428</epage><pages>425-428</pages><isbn>9780769536057</isbn><isbn>0769536050</isbn><abstract>This paper tries to study the influences of international oil price to Chinese and American stock markets. We first eliminate the impacts of the calendar effect and the time trends on oil futures returns and stock market returns using Gallant, Rossi and Tachen's method combining with stepwise regression method, and then do quantile regression analysis according to the adjusted data. The empirical results are summarized as follows: the influences of oil futures returns to American stock market returns are significant at quantiles below 0.06 and from 0.74 to 0.80, but not significant at other quantiles; the influences of oil futures returns to Shanghai and Shenzhen stock market returns are not significant. The second phenomenon should be paid attention by Chinese stock investors.</abstract><pub>IEEE</pub><doi>10.1109/CSO.2009.163</doi><tpages>4</tpages></addata></record> |
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| source | IEEE Electronic Library (IEL) Conference Proceedings |
| subjects | Calendars Costs Fluctuations Gold Macroeconomics Petroleum Quantile Regression Raw materials Regression analysis Returns Statistics Stock markets |
| title | Are There any Influences of Oil Prices to Chinese and American Stock Returns? |
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