References
- Baumeister, C., and J. D. Hamilton. 2019. “Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks.” American Economic Review 109 (5): 1873–1910. doi:https://doi.org/10.1257/aer.20151569.
- Baumeister, C., and J. D. Hamilton, 2020. “Advances in Structural Vector Autoregressions with Imperfect Identifying Information.” National Bureau of Economic Research, Working paper.
- Bouri, E., Q. Chen, D. Lien, and X. Lv. 2017. “Causality between Oil Prices and the Stock Market in China: The Relevance of the Reformed Oil Product Pricing Mechanism.” International Review of Economics & Finance 48: 34–48. doi:https://doi.org/10.1016/j.iref.2016.11.004.
- Cheema, M. A., Y. Man, and K. R. Szulczyk. 2020. “Does Investor Sentiment Predict the Near-term Returns of the Chinese Stock Market?” International Review of Finance 20 (1): 225–233. doi:https://doi.org/10.1111/irfi.12202.
- Cheema, M. A., and F. Scrimgeour. 2019. “Oil Prices and Stock Market Anomalies.” Energy Economics 83: 578–587. doi:https://doi.org/10.1016/j.eneco.2019.08.003.
- Ding, Z., Z. Liu, Y. Zhang, and R. Long. 2017. “The Contagion Effect of International Crude Oil Price Fluctuations on Chinese Stock Market Investor Sentiment.” Applied Energy 187: 27–36. doi:https://doi.org/10.1016/j.apenergy.2016.11.037.
- Du, D., R. J. Gunderson, and X. Zhao. 2016. “Investor Sentiment and Oil Prices.” Journal of Asset Management 17 (2): 73–88. doi:https://doi.org/10.1057/jam.2015.39.
- Du, L., H. Yanan, and C. Wei. 2010. “The Relationship between Oil Price Shocks and China’s Macro-economy: An Empirical Analysis.” Energy Policy 38 (8): 4142–4151. doi:https://doi.org/10.1016/j.enpol.2010.03.042.
- Hamilton, J. D. 2008. “Oil and the Macroeconomy.” In The New Palgrave Dictionary of Economics, 2. Palgrave Macmillan, London.
- Hamilton, J. D. 2019. “Measuring Global Economic Activity.” Journal of Applied Econometrics N/a (N/a) 1–11.
- He, Z. 2020. “Dynamic Impacts of Crude Oil Price on Chinese Investor Sentiment: Nonlinear Causality and Time-varying Effect.” International Review of Economics & Finance 66: 131–153. doi:https://doi.org/10.1016/j.iref.2019.11.004.
- He, Z., F. Zhou, and F. Wen. 2018. “Time-varying and Asymmetric Effects of the Oil-specific Demand Shock on Investor Sentiment.” PloS One 13 (8): 8. doi:https://doi.org/10.1371/journal.pone.0200734.
- Kilian, L. 2009. “Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market.” American Economic Review 99 (3): 1053–1069. doi:https://doi.org/10.1257/aer.99.3.1053.
- Kilian, L., and X. Zhou, 2020. The econometrics of oil market VAR models. Working paper.
- Qadan, M., and H. Nama. 2018. “Investor Sentiment and the Price of Oil.” Energy Economics 69: 42–58. doi:https://doi.org/10.1016/j.eneco.2017.10.035.
- Stambaugh, R. F., J. Yu, and Y. Yuan. 2012. “The Short of It: Investor Sentiment and Anomalies.” Journal of Financial Economics 104 (2): 288–302. doi:https://doi.org/10.1016/j.jfineco.2011.12.001.
- Wei, Y., and X. Guo. 2016. “An Empirical Analysis of the Relationship between Oil Prices and the Chinese Macro-economy.” Energy Economics 56: 88–100. doi:https://doi.org/10.1016/j.eneco.2016.02.023.
- Ye, Z., C. Hu, L. He, G. Ouyang, and F. Wen. 2020. “The Dynamic Time-frequency Relationship between International Oil Prices and Investor Sentiment in China: A Wavelet Coherence Analysis.” The Energy Journal 41 (1): 251–270. doi:https://doi.org/10.5547/01956574.41.5.fwen.