Stock price synchronicity to oil shocks across quantiles: Evidence from Chinese oil firms

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• 作者：Cheng Peng^a ; Huiming Zhu^a ; ^{zhuhuiming@hnu.edu.cn} ; Xianghua Jia^a ; Wanhai You^b
• 关键词：Stock price synchronicity ; Oil shocks ; Extreme quantiles ; Size effect ; Lagged effect
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：61
• 期：Complete
• 页码：248-259
• 全文大小：1565 K
• 卷排序：61

文摘

We investigate the quantile behaviour of stock price synchronicity in response to oil shocks. Oil shocks affect stock price synchronicity in upper quantiles differently based on firm size. There is a lagged effect of oil shocks on stock price synchronicity. DCC is a reasonable and advantageous substitute to measure synchronicity compared to R-square.