Abstract
AbstractThis paper applies a modified structural vector autoregressive (SVAR) model to explore whether explicit structural oil price shocks affect investor sentiment in China's stock market. The results indicate that China's investor sentiment responds significantly positively to OPEC supply shocks, while it responds significantly negatively to oil‐specific demand shocks. However, China's stock investor sentiment does not respond to aggregate demand shocks and non‐OPEC supply shocks. In addition, OPEC supply shocks and oil‐specific demand shocks have greater explanatory power for variations in stock investor sentiment through variance decomposition.
Published Version
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