How Do Structural Oil Price Shocks Affect China's Investor Sentiment? The Critical Role of OPEC Oil Supply Shocks. (7th October 2021)

• Record Type: Journal Article
• Authors: Jiang, Yong; Ma, Chao‐Qun; Weber, Olaf; Ren, Yi‐Shuai
• Is Part Of: Asia-Pacific journal of financial studies. Volume 50:Number 5(2021)
• Page Start: 500
• Page End: 526
• Publication Date: 2021-10-07
• Subjects: Crude oil price -- OPEC supply shock -- Stock investor sentiment -- Structural VAR model; Pacific Area -- Economic conditions -- Periodicals; Finance -- Asia -- Periodicals; Finance -- Pacific Area -- Periodicals; Asia -- Economic conditions -- Periodicals; 332.09505
• DOI: 10.1111/ajfs.12349
• Languages: English
• ISSNs: 2041-9945

Abstract

Abstract: This 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.