عدم اطمینان قیمت نفت و بازده سهام چینی: شواهد جدید از شاخص نوسان نفت

This paper investigates the impact of oil price shocks and oil price volatility shocks on the Chinese stock market index and five sector returns. In addition to the realized volatility, the paper uses the CBOE crude oil volatility index (OVX) to proxy for the oil price volatility. The empirical results suggest that oil price shocks positively affect Chinese stock returns. More importantly, evidence indicates that the OVX shocks have significant and negative effects on the Chinese stock market while the impact of realized volatility shocks is negligible, especially after the recent financial crisis.