Sino-U.S. stock market volatility, economic policy uncertainty, and fluctuation of global oil market: an empirical analysis based on TVP-SV-VAR model

Yang, Tianle; Zhou, Fangxing; Du, Min; Du, Quanyang; Zhou, Sirong

Abstract

This paper investigates the correlations among Sino-US stock markets, economic policy uncertainty (EPU) and global oil market. Specificly, by adopting a TVP-SV-VAR model this study analyzes the dynamic effects of volatility of stock price in China and U.S. markets, EPU index, and volatility of oil price in OPCE from 2003 to 2020. It is found that the correlations among China and U.S. stock markets and the global oil market exist though time varying and in different ways.
Generally, effects in short- terms are stronger compared with medium-and-long terms. Most of the effects are positive which means that fluctuations strengths each other across the five markets, except
for the five variables across five markets show correlations to each other in both short terms and long terms. Compared with China stock market, the US stock market show stronger impacts on the global
oil market. The increasing economic policy uncertainty of the two countries both strengthen the fluctuation of global oil price, though the effect by China is weaker. Further, the impact of EPU on the
stock markets is strengthened during the global turbulent events such as the financial crisis and global COVID-2019 pandemic.

Citation

Yang, T., Zhou, F., Du, M., Du, Q., & Zhou, S. (2020, November). Sino-U.S. stock market volatility, economic policy uncertainty, and fluctuation of global oil market: an empirical analysis based on TVP-SV-VAR model. Presented at ENSCON’ 20 Online International Congress of Energy Economy and Security, Istanbul, Turkey [Online]

• Presentation Conference Type: Conference Paper (published)
• Conference Name: ENSCON’ 20 Online International Congress of Energy Economy and Security
• Start Date: Nov 14, 2020
• End Date: Nov 15, 2020
• Online Publication Date: Nov 30, 2020
• Publication Date: Nov 30, 2020
• Deposit Date: Nov 29, 2022
• Pages: 83-106
• Book Title: International Congress of Energy Economy and Security: Proceedings Book
• ISBN: 978-605-7858-50-4
• Keywords: volatility stock market, economic policy uncertainty, fluctuation of oil price, TVP-SVVAR Mod
• Public URL: http://researchrepository.napier.ac.uk/Output/2967831
• Publisher URL: https://www.enscon.org/pdf/