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dc.contributor.authorChen, Jian-baozh_CN
dc.contributor.authorCheng, Ting-tingzh_CN
dc.contributor.authorWang, Deng-lingzh_CN
dc.contributor.author陈建宝zh_CN
dc.date.accessioned2015-07-22T02:06:21Z
dc.date.available2015-07-22T02:06:21Z
dc.date.issued2009zh_CN
dc.identifier.citationINTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION, VOL 2, PROCEEDINGS, 2009:425-428zh_CN
dc.identifier.otherWOS:000273549700102zh_CN
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/85590
dc.descriptionConference Name:2nd International Joint Conference on Computational Sciences and Optimization. Conference Address: Sanya, PEOPLES R CHINA. Time:APR 24-26, 2009.zh_CN
dc.description.abstractThis paper tries to study the influences of international oil price to Chinese and American stock markets. We first eliminate the impacts of the calendar effect and the time trends on oil futures returns and stock market returns using Gallant, Rossi and Tachen's method[4] combining with stepwise regression method, and then do quantile regression analysis according to the adjusted data. The empirical results are summarized as follows: the influences of oil futures returns to American stock market returns are significant at quantiles below 0.06 and from 0.74 to 0.80, but not significant at other quantiles; the influences of oil futures returns to Shanghai and Shenzhen stock market returns are not significant. The second phenomenon should be paid attention by Chinese stock investors.zh_CN
dc.language.isoen_USzh_CN
dc.publisherIEEE COMPUTER SOCzh_CN
dc.source.urihttp://dx.doi.org/10.1109/CSO.2009.163zh_CN
dc.subjectMARKETSzh_CN
dc.subjectRISKzh_CN
dc.titleAre There any Influences of Oil Prices to Chinese and American Stock Returns?zh_CN
dc.typeConferencezh_CN


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