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

• Author: Khan, Muhammad Kamran ; Teng, Jian-Zhou ; Khan, Muhammad Imran
• Gherghina, Stefan Cristian
• 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 ; International economic relations ; Investments - economics ; Models, Statistical ; Oil ; Oils - economics ; Petroleum ; Physical Sciences ; Prices and rates ; Profits ; Rate of return ; Recessions ; Return on investment ; Securities industry ; Securities markets ; Skewed distributions ; Social Sciences ; Statistics ; Stock exchanges ; Stock markets ; Stock prices ; Stock-exchange ; Stocks ; Tourism
• Is Part Of: PloS one, 2019-06, Vol.14 (6), p.e0218289-e0218289
• Description: 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.
  
• Publisher: United States: Public Library of Science
  
• Language: English
  
• Identifier: ISSN: 1932-6203
  EISSN: 1932-6203
  DOI: 10.1371/journal.pone.0218289
  PMID: 31211817
  
• Source: GFMER Free Medical Journals
  MEDLINE
  PubMed Central
  Public Library of Science (PLoS)
  ProQuest Central
  DOAJ Directory of Open Access Journals