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The Scientific World Journal
Volume 2013, Article ID 171868, 9 pages
Research Article

Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China

1School of Economics and Management, North China Electric Power University, Beijing 102206, China
2Centre for Environmental and Climate Research (CEC), Lund University, 223 62 Lund, Sweden
3State Key Laboratory Breeding Base of Green Chemistry Synthesis Technology, College of Chemical Engineering and Materials Science, Zhejiang University of Technology, Hangzhou 310014, China

Received 18 February 2013; Accepted 17 March 2013

Academic Editors: K. J. Chua and A. Piacentino

Copyright © 2013 Rong-Gang Cong and Shaochuan Shen. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.