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Oil volatility index and Chinese stock markets during financial crisis: a time-varying perspective

Panayiotis Tzeremes (Department of Accounting and Finance, University of Thessaly , Larissa, Greece)

Journal of Chinese Economic and Foreign Trade Studies

ISSN: 1754-4408

Article publication date: 22 February 2021

Issue publication date: 10 May 2021

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Abstract

Purpose

This study aims to examine the interconnection among the oil volatility index (OVX) and the Chinese stock markets (CSM) during the financial crisis over the period June 1, 2007 to June 26, 2012.

Design/methodology/approach

Applying the time-varying Granger causality test, this paper conducts an exhaustive analysis of the OVX and the CSMs during the financial crisis. In particular, the financial crisis is classified in three stages, namely, the US subprime crisis, the global financial crisis and the sovereign debt crisis.

Findings

Briefly, the findings indicate almost a neutral relationship between the OVX and the CSMs during the entire financial crisis, the US subprime crisis and the global financial crisis. Finally, this paper has found a positive relationship between the OVX and the CSMs during the sovereign debt crisis.

Practical implications

This outcome clearly suggests that Chinese investors have to disregard uncertain information. In addition, policymakers can ameliorate the willingness of market investors in the CSM and further deepen the market-oriented reform of China’s domestic oil prices.

Originality/value

The innovative combination of these two strands, the OVX and the three stages of the financial crisis, is empirically examined in the study and this paper finds a non-linear linkage between the OVX and CSMs.

Keywords

Acknowledgements

Author would like to thank Prof Rania Mohamed Samir Miniesy (Editor) for the detailed and constructive comments made on this manuscript. Also, author would like to thank the journal’s anonymous reviewers for their valuable comments. Any remaining errors are the authors’ responsibility.

Citation

Tzeremes, P. (2021), "Oil volatility index and Chinese stock markets during financial crisis: a time-varying perspective", Journal of Chinese Economic and Foreign Trade Studies, Vol. 14 No. 2, pp. 187-201. https://doi.org/10.1108/JCEFTS-08-2020-0051

Publisher

:

Emerald Publishing Limited

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