title: Relationships among energy price shocks, stock market, and the macroeconomy: evidence from China.
abstract: This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market "underreacting." The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.
authors.affiliation: School of Economics and Management, North China Electric Power University, Beijing, China. ronggang.cong@cec.lu.se
authors.forename: Rong-Gang
authors.initials: RG
authors.lastname: Cong
authors.forename: Shaochuan
authors.initials: S
authors.lastname: Shen
mesh_terms: D003198:Computer Simulation; D004736:Energy-Generating Resources / Q000191:economics*; D007449:Investments / Q000191:economics* / Q000706:statistics & numerical data*; D018803:Models, Economic; D010067:Ownership / Q000191:economics* / Q000706:statistics & numerical data*