Global Oil Shocks and China’s Commodity Markets: The Role of OVX

References

• Aboura, S., and J. Chevallier. 2013. Leverage vs. feedback: Which effect drives the oil market? Finance Research Letters 10 (3):131–41. doi:10.1016/j.frl.2013.05.003.
   Web of Science ®Google Scholar
• Agbeyegbe, T. D. 2015. An inverted U-shaped crude oil price return-implied volatility relationship. Review of Financial Economics 27:28–45. doi:10.1016/j.rfe.2015.08.001.
   Web of Science ®Google Scholar
• Ahmadi, M., N. B. Behmiri, and M. Manera. 2016. How is volatility in commodity markets linked to oil price shocks? Energy Economics 59:11–23. doi:10.1016/j.eneco.2016.07.006.
   Web of Science ®Google Scholar
• Bastianin, A., F. Conti, and M. Manera. 2016. The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries. Energy Policy 98:160–69. doi:10.1016/j.enpol.2016.08.020.
   Web of Science ®Google Scholar
• Baumeister, C., and L. Kilian. 2014. Do oil price increases cause higher food prices? Economic Policy 29 (80):691–747. doi:10.1111/1468-0327.12039.
   Web of Science ®Google Scholar
• Beirne, J., C. Beulen, G. Liu, and A. Mirzaei. 2013. Global oil prices and the impact of China. China Economic Review 27:37–51. doi:10.1016/j.chieco.2013.07.001.
   Web of Science ®Google Scholar
• Bouri, E., R. Gupta, S. Hosseini, and C. K. M. Lau. 2018a. Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian graphical structural VAR model. Emerging Markets Review 34:124–42. doi:10.1016/j.ememar.2017.11.004.
   Web of Science ®Google Scholar
• Bouri, E., I. Kachacha, D. Lien, and D. Roubaud. 2017. Short-and long-run causality across the implied volatility of crude oil and agricultural commodities. Economics Bulletin 37 (2):1077–88.
   Web of Science ®Google Scholar
• Bouri, E., D. Lien, D. Roubaud, and S. J. H. Shahzad. 2018b. Directional predictability of implied volatility: From crude oil to developed and emerging stock markets. Finance Research Letters 27:65–79. doi:10.1016/j.frl.2018.02.022.
   Web of Science ®Google Scholar
• Chen, P. 2015. Global oil prices, macroeconomic fundamentals and China’s commodity sector comovements. Energy Policy 87:284–94. doi:10.1016/j.enpol.2015.09.024.
   Web of Science ®Google Scholar
• Fernandez-Perez, A., B. Frijns, and A. Tourani-Rad. 2016. Contemporaneous interactions among fuel, biofuel and agricultural commodities. Energy Economics 58:1–10. doi:10.1016/j.eneco.2016.05.014.
   Web of Science ®Google Scholar
• Ji, Q., and Y. Fan. 2012. How does oil price volatility affect non-energy commodity markets? Applied Energy 89 (1):273–80. doi:10.1016/j.apenergy.2011.07.038.
   Web of Science ®Google Scholar
• Ji, Q., and Y. Fan. 2016. Modelling the joint dynamics of oil prices and investor fear gauge. Research in International Business and Finance 37:242–51. doi:10.1016/j.ribaf.2015.11.016.
   Web of Science ®Google Scholar
• 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):1053–69. doi:10.1257/aer.99.3.1053.
   Web of Science ®Google Scholar
• Kilian, L., and D. P. Murphy. 2014. The role of inventories and speculative trading in the global market for crude oil. Journal of Applied Econometrics 29 (3):454–78. doi:10.1002/jae.2322.
   Web of Science ®Google Scholar
• Kim, W. J., S. Hammoudeh, J. S. Hyun, and R. Gupta. 2017. Oil price shocks and China’s economy: Reactions of the monetary policy to oil price shocks. Energy Economics 62:61–69. doi:10.1016/j.eneco.2016.12.007.
   Web of Science ®Google Scholar
• Liu, B. Y., Q. Ji, and Y. Fan. 2017. Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model. Energy Economics 68:53–65. doi:10.1016/j.eneco.2017.09.011.
   Web of Science ®Google Scholar
• Liu, L., Y. Wang, C. Wu, and W. Wu. 2016. Disentangling the determinants of real oil prices. Energy Economics 56:363–73. doi:10.1016/j.eneco.2016.04.003.
   Web of Science ®Google Scholar
• Liu, M. L., Q. Ji, and Y. Fan. 2013. How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index. Energy 55:860–68. doi:10.1016/j.energy.2013.04.037.
   Web of Science ®Google Scholar
• Luo, X., and S. Qin. 2017. Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index. Finance Research Letters 20:29–34. doi:10.1016/j.frl.2016.08.005.
   Web of Science ®Google Scholar
• Mensi, W., A. Tiwari, E. Bouri, E. Roubaud, and K. H. Al-Yahyaee. 2017. The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes. Energy Economics 66:122–39. doi:10.1016/j.eneco.2017.06.007.
   Web of Science ®Google Scholar
• Mu, X., and H. Ye. 2011. Understanding the crude oil price: how important is the China factor? The Energy Journal 32:69–92. doi:10.5547/ISSN0195-6574-EJ-Vol32-No4-5.
   Web of Science ®Google Scholar
• Nazlioglu, S., C. Erdem, and U. Soytas. 2013. Volatility spillover between oil and agricultural commodity markets. Energy Economics 36:658–65. doi:10.1016/j.eneco.2012.11.009.
   Web of Science ®Google Scholar
• Wang, Y., C. Wu, and L. Yang. 2013. Oil price shocks and stock market activities: evidence from oil-importing countries. Journal of Comparative Economics 41:1220–39. doi:10.1016/j.jce.2012.12.004.
   Web of Science ®Google Scholar
• Wang, Y., C. Wu, and L. Yang. 2014. Oil price shocks and agricultural commodity prices. Energy Economics 44:22–35. doi:10.1016/j.eneco.2014.03.016.
   Web of Science ®Google Scholar
• Wen, F., F. Min, Y. J. Zhang, and C. Yang. 2019a. Crude oil price shocks, monetary policy, and China’s economy. International Journal of Finance & Economics 24 (2):812–27. doi:10.1002/ijfe.1692.
   Web of Science ®Google Scholar
• Wen, F., J. Xiao, X. Xia, B. Chen, Z. Xiao, and J. Li. 2019b. Oil prices and Chinese stock market: Nonlinear causality and volatility persistence. Emerging Markets Finance and Trade 55 (6):1247–63. doi:10.1080/1540496X.2018.1496078.
   Web of Science ®Google Scholar
• Wen, X., E. Bouri, and H. Cheng. 2019. The Crude oil–stock market dependence and its determinants: Evidence from emerging economies. Emerging Markets Finance and Trade 55 (10):2254–74. doi:10.1080/1540496X.2018.1522247.
   Web of Science ®Google Scholar
• Xiao, J., M. Zhou, F. Wen, and F. Wen. 2018. Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index. Energy Economics 74:777–86. doi:10.1016/j.eneco.2018.07.026.
   Web of Science ®Google Scholar
• Zhang, C., and X. Chen. 2011. The impact of global oil price shocks on China’s stock returns: Evidence from the ARJI (-ht)-EGARCH model. Energy 36 (11):6627–33. doi:10.1016/j.energy.2011.08.052.
   Web of Science ®Google Scholar
• Zhang, C., and X. Qu. 2015. The effect of global oil price shocks on China’s agricultural commodities. Energy Economics 51:354–64. doi:10.1016/j.eneco.2015.07.012.
   Web of Science ®Google Scholar
• Zhang, C., and X. Tu. 2016. The effect of global oil price shocks on China’s metal markets. Energy Policy 90:131–39. doi:10.1016/j.enpol.2015.12.012.
   Web of Science ®Google Scholar