바로가기메뉴

본문 바로가기 주메뉴 바로가기

logo

The Impact of Investor Sentiment on Energy and Stock Markets-Evidence : China and Hong Kong

The Journal of Distribution Science / The Journal of Distribution Science, (P)1738-3110; (E)2093-7717
2014, v.12 no.3, pp.75-83
https://doi.org/https://doi.org/10.13106/jds.2014.vol12.no3.75.
Ho, Liang-Chun
  • Downloaded
  • Viewed

Abstract

Purpose - The oil price affects company value, which is the present value of the expected cash flow, by affecting the discount rate and cash flow. This study examines the nonlinear relationships between oil price and stock price using the AlphaShares Chinese Volatility Index as the threshold. Research design, data, and methodology - Data comprise daily closing values of the Shanghai Stock Exchange Composite Index, Shenzhen Stock Exchange Composite Index, and Hang Seng Index of ChinaWest Texas Intermediate crude oil spot price and AlphaShares Chinese Volatility Index from May 25, 2007 to May 24, 2012. The Threshold Error Correction Model is used. Results - The results demonstrate different relationships between the stock price index and oil price under different investor sentiments; however, the stock price index and oil price could adjust to a long-term equilibrium the long-term causality tests between them were all significant. Conclusions - The relationship between the WTI and HANG SENG Index is more significant than the Shanghai Composites Index and Shenzhen Composite Index, when using the AlphaShares Chinese Volatility Index (ASC-VIX) as the investor sentiment variable and threshold.

keywords
Oil Price, Stock Price, Investor Sentiment, TECM, China, Hong Kong

Reference

1.

Driesprong, G., Jacobsen, B., & Maat, B. (2008). Striking oil:Another puzzle? Journal of Financial Economics, 89, 307–327.

2.

El-Sharif, I., Brown, D., Burton, B., Nixon, B., & Russell, A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the U.K. Energy Economics, 27, 819–830.

3.

Gisser, M., & Goodwin, T.H. (1986). Crude oil and the macroeconomy:tests of some popular notions. Journal of Money, Credit, and Banking, 18, 95–103.

4.

Jones, C., & Kaul, G. (1996). Oil and the stock markets. Journal of Finance, 51, 463–491.

5.

Jones, D.W., Leiby, P.N., & Paik, I.K. (2004). Oil price shocks and the macroeconomy: what has been learned since 1996. Energy Journal, 25, 1–32.

6.

Kanas, Angelos (2012). Modelling the risk–return relation for the S&P 100: The role of VIX. Economic Modeling, 29, 795-809.

7.

Merton, R.C. (1973). An intertemporal capital asset pricing model. Econometrica, 41, 867–887.

8.

Minh Vo. (2011). Oil and stock market volatility: A multivariate stochastic volatility perspective. Energy Economics, 33, 956–965

9.

Papapetrou, E. (2001). Oil price shocks, stock market, economic activity and employment in Greece. Energy Economics, 22, 511–532.

10.

Park, J., Ronald A., & Ratti, R.A. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics, 30, 2587–2608.

11.

Rotemberg, J.J., & Woodford, M. (1996). Imperfect competition and the effects of energy price increases on economic activity. Journal of Money, Credit and Banking, 28, 549–577.

12.

Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics, 23, 17–28.

13.

Sari, R., Soytas, U. & Hacihasanoglu, E. (2011). Do global risk perceptions influence world oil prices? Energy Economics, 33, 515–524.

14.

Whaley, R.E. (2000). The investor fear gauge. Journal of Portfolio Management, 26, 12–17.

The Journal of Distribution Science