Asymmetric Impact of Structural Shocks of Crude Oil Price on Equity Market in Two Large Emerging Market Economies: Evidence from China and India

IF 3 Q2 BUSINESS Vision-The Journal of Business Perspective Pub Date : 2023-04-01 DOI:10.1177/09722629231157464

Souvik Banerjee, Debaditya Mohanti

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Abstract

The objective of this particular study is to understand the asymmetric impact of structural shocks (in terms of supply and demand shocks on crude oil price) on equity market returns in the context of the largest two emerging market economies, that is, China and India. The timeframe of this study is January 1996 to January 2022. The study has been conducted, based on monthly data. The present study employs a structural vector auto regression as well as NARDL model to understand the asymmetry of these structural shocks. Our findings are in contradiction to the popular perception of the Press that crude oil price and equity market returns are inversely related. The present study found that different structural shocks have very different impacts on the stock returns. Our study also adds to the existing literature, as it showed that both the Chinese and Indian markets react in similar fashion to structural shocks in the crude oil market. Structural shocks have no impact on the Indian market, whereas there is a significant asymmetric impact of only precautionary demand shock in, both, the long and short runs, in the context of the Chinese market.

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两大新兴市场经济体原油价格结构性冲击对股票市场的不对称影响:来自中国和印度的证据

这一特殊研究的目的是了解在最大的两个新兴市场经济体，即中国和印度的背景下，结构性冲击(就原油价格的供需冲击而言)对股票市场回报的不对称影响。本研究的时间框架为1996年1月至2022年1月。这项研究是根据每月的数据进行的。本研究采用结构向量自回归和NARDL模型来理解这些结构冲击的不对称性。我们的研究结果与媒体普遍认为的原油价格和股市回报呈负相关的观点相矛盾。本研究发现，不同的结构性冲击对股票收益的影响有很大差异。我们的研究还补充了现有文献，因为它表明中国和印度市场对原油市场结构性冲击的反应方式相似。结构性冲击对印度市场没有影响，而在中国市场的背景下，只有预防性需求冲击在长期和短期都有显著的不对称影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Vision-The Journal of Business Perspective Multiple-

CiteScore

4.60

自引率

0.00%

发文量

121

期刊介绍： Vision-The Journal of Business Perspective is a quarterly peer-reviewed journal of the Management Development Institute, Gurgaon, India published by SAGE Publications. This journal contains papers in all functional areas of management, including economic and business environment. The journal is premised on creating influence on the academic as well as corporate thinkers. Vision-The Journal of Business Perspective is published in March, June, September and December every year. Its targeted readers are researchers, academics involved in research, and corporates with excellent professional backgrounds from India and other parts of the globe. Its contents have been often used as supportive course materials by the academics and corporate professionals. The journal has been providing opportunity for discussion and exchange of ideas across the widest spectrum of scholarly opinions to promote theoretical, empirical and comparative research on problems confronting the business world. Most of the contributors to this journal range from the outstanding and the well published to the upcoming young academics and corporate functionaries. The journal publishes theoretical as well as applied research works.