The impact of macroeconomic news on stock returns of energy firms—evidence from China

Yaya Su; Gaoke Liao; Yaya Su; Gaoke Liao

doi:10.3934/GF.2019.3.297

Green Finance

2019, Volume 1, Issue 3: 297-311. doi: 10.3934/GF.2019.3.297

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Research article

The impact of macroeconomic news on stock returns of energy firms—evidence from China

Yaya Su ,
Gaoke Liao ^,

College of Finance and Statistics, Hunan University, Changsha, China

Received: 11 September 2019 Accepted: 20 September 2019 Published: 26 September 2019
JEL Codes: C32, C51, G11, G32

This paper identifies the change point of stock returns of energy firms, and examines the impact of macroeconomic news on stock returns of energy firms. Our analysis used China's A-share listed energy firms from January 2008 to December 2018. First, we use high-dimensional time series factor models to pick up most of the structural changes in the common components of stock returns of energy firms. And then based on the change-points, we use the TVP-VAR method to explore the complex relationship between the macroeconomic news and the common component of stock returns of energy firms in different periods. The results show that there are three change points in the common components of stock returns of energy firms, but the idiosyncratic components don't have change points. What's more, for different periods, macroeconomic news has a heterogeneous impact on stock returns of energy firms.
- macroeconomic news,
- energy firms,
- stock return,
- change point
Citation: Yaya Su, Gaoke Liao. The impact of macroeconomic news on stock returns of energy firms—evidence from China[J]. Green Finance, 2019, 1(3): 297-311. doi: 10.3934/GF.2019.3.297

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Abstract

This paper identifies the change point of stock returns of energy firms, and examines the impact of macroeconomic news on stock returns of energy firms. Our analysis used China's A-share listed energy firms from January 2008 to December 2018. First, we use high-dimensional time series factor models to pick up most of the structural changes in the common components of stock returns of energy firms. And then based on the change-points, we use the TVP-VAR method to explore the complex relationship between the macroeconomic news and the common component of stock returns of energy firms in different periods. The results show that there are three change points in the common components of stock returns of energy firms, but the idiosyncratic components don't have change points. What's more, for different periods, macroeconomic news has a heterogeneous impact on stock returns of energy firms.

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