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

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2019
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Abstract
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.
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khan2019asymmetricplos Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Khan, Muhammad Kamran;Teng, Jian-Zhou;Khan, Muhammad Imran;
Journal PloS one
Year 2019
DOI
10.1371/journal.pone.0218289
URL
Keywords
time series modeling animal disease disease control strategy foot and mouth disease indirect costs market impact vector error correction model

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