[1] |
BROADSTOCK D C,CAO H,ZHANG D. Oil shocks and their impact on energy related stocks in China[J]. Energy Economics,2012,34(6):1888-1895. |
[2] |
廖理,刘碧波,郦金梁. 道德风险、信息发现与市场有效性——来自于股权分置改革的证据[J]. 金融研究,2008(4):146-160. |
[3] |
BAI J,PERRON P. Estimating and testing linear models with multiple structural changes[J]. Econometrica,1998,66(1):47-78. |
[4] |
BAI J,PERRON P. Computation and analysis of multiple structural change models[J]. Journal of Applied Econometrics,2003,18(1):1-22. |
[5] |
REBOREDO J C. Nonlinear effects of oil shocks on stock returns:a Markov-switching approach[J]. Applied Economics,2010,42(29):3735-3744. |
[6] |
BALCILAR M,GUPTA R,MILLER S M. Regime switching model of US crude oil and stock market prices:1859 to 2013[J]. Energy Economics,2015,49:317-327. |
[7] |
JIMéNEZ-RODRíGUEZ R. Oil price shocks and stock markets:testing for non-linearity[J]. Empirical Economics,2015,48(3):1079-1102. |
[8] |
LU F,QIAO H,WANG S,LAI K K,LI Y. Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets[J]. Environmental Research,2017,152,351-359. |
[9] |
刘红忠,何文忠,李治平. A股市场上的"中石油魔咒"现象及其解释[J]. 财经研究,2012(8):109-121. |
[10] |
LI S F,ZHU H M,YU K. Oil prices and stock market in China:a sector analysis using panel cointegration with multiple breaks[J]. Energy Economics,2012,34(6):1951-1958. |
[11] |
TSAI C L. How do US stock returns respond differently to oil price shocks pre-crisis,within the financial crisis,and post-crisis?[J]. Energy Economics,2015,50:47-62. |
[12] |
FILIS G,DEGIANNAKIS S,FLOROS C. Dynamic correlation between stock market and oil prices:the case of oil-importing and oil-exporting countries[J]. International Review of Financial Analysis,2011,20(3):152-164. |
[13] |
KANG W,RATTI R A,YOON K H. Time-varying effect of oil market shocks on the stock market[J]. Journal of Banking & Finance,2015,61:S150-S163. |
[14] |
KILIAN L. Not all oil price shocks are alike:disentangling demand and supply shocks in the crude oil market[J]. The American Economic Review,2009,99(3):1053-1069. |
[15] |
BOLDANOV R,DEGIANNAKIS S,FILIS G. Time-varying correlation between oil and stock market volatilities:Evidence from oil-importing and oil-exporting countries[J]. International Review of Financial Analysis,2016,48:209-220. |
[16] |
姬强,范英. 次贷危机前后国际原油市场与中美股票市场间的协动性研究[J]. 中国管理科学,2010,18(6):42-50. |
[17] |
BROADSTOCK D C,FILIS G. Oil price shocks and stock market returns:new evidence from the United States and China[J]. Journal of International Financial Markets,Institutions and Money,2014,33:417-433. |
[18] |
WEN X,WEI Y,HUANG D. Measuring contagion between energy market and stock market during financial crisis:a copula approach[J]. Energy Economics,2012,34(5):1435-1446. |
[19] |
ZHU H,GUO Y,YOU W. An empirical research of crude oil price changes and stock market in China:evidence from the structural breaks and quantile regression[J]. Applied Economics,2015,47(56):6055-6074. |