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ISSN : 1738-3110

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Vol.12 No.3
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The Impact of Investor Sentiment on Energy and Stock Markets-Evidence : China and Hong Kong

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

The Journal of Distribution Science(JDS) / 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 (Department of Applied Financial, Hsiuping University of Science and Technology)
Ho, Liang-Chun. (2014). The Impact of Investor Sentiment on Energy and Stock Markets-Evidence : China and Hong Kong. The Journal of Distribution Science(JDS), 12(3), 75-83, https://doi.org/https://doi.org/10.13106/jds.2014.vol12.no3.75.
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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

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The Journal of Distribution Science(JDS)

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