Green Finance, 2019, 1(3): 297-311. doi: 10.3934/GF.2019.3.297.

Research article

Export file:


  • RIS(for EndNote,Reference Manager,ProCite)
  • BibTex
  • Text


  • Citation Only
  • Citation and Abstract

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

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

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.
  Article Metrics

Keywords 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. Green Finance, 2019, 1(3): 297-311. doi: 10.3934/GF.2019.3.297


  • 1. Athanasoglou PP, Daniilidis I, Delis MD (2014) Bank procyclicality and output: Issues and policies. J Econ Busi 72: 58-83.    
  • 2. Bahloul W, Gupta R (2018) Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures. Int Econ 156: 247-253.    
  • 3. Bahmani-Oskooee M, Saha S (2019) On the effects of policy uncertainty on stock prices: an asymmetric analysis. Quant Financ Econ 3: 412-424.
  • 4. Belgacem A, Creti A, Guesmi K, et al. (2015) Volatility spillovers and macroeconomic announcements: evidence from crude oil markets. Appl Econ 47: 2974-2984.    
  • 5. Brandt MW, Gao L (2019) Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. J Empir Financ 51: 64-94.
  • 6. Brenner M, Pasquariello P, Subrahmanyam M (2009) On the volatility and comovement of US financial markets around macroeconomic news announcements. J Financ Quant Anal 44: 1265-1289.    
  • 7. Broadstock DC, Cao H, Zhang D (2012) Oil shocks and their impact on energy related stocks in China. Energy Econ 34: 1888-1895.    
  • 8. Cakan E, Doytch N, Upadhyaya KP (2015) Does US macroeconomic news make emerging financial markets riskier?. Borsa Istanbul Rev 15: 37-43.    
  • 9. Campbell JY, Hentschel L (1992) No news is good news: An asymmetric model of changing volatility in stock returns. J Financ Econ 31: 281-318.
  • 10. Caruso A (2019) Macroeconomic news and market reaction: Surprise indexes meet nowcasting. Int J Forecasting.
  • 11. Chen J, Liu YJ, Lu L, et al. (2016) Investor attention and macroeconomic news announcements: Evidence from stock index futures. J Futures Mark 36: 240-266.    
  • 12. Chen NF, Roll R, Ross SA (1986) Economic forces and the stock market. J Bus 59: 383-403.
  • 13. Fama EF (1981) Stock returns, real activity, inflation, and money. Am Econ rev 71: 545-565.
  • 14. Fama EF, French KR (1988) Permanent and temporary components of stock prices. J Political Econ 96: 246-273.
  • 15. Hailemariam A, Smyth R, Zhang X (2019) Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model. Energy Econ 83: 40-51.
  • 16. Hamilton S (2008) Trucking Country: The Road to America's Wal−Mart Economy, Princeton University Press.
  • 17. Huang X (2018) Macroeconomic news announcements, systemic risk, financial market volatility, and jumps. J Futures Mark 38: 513-534.
  • 18. Maheu JM, McCurdy TH (2004) News arrival, jump dynamics, and volatility components for individual stock returns. J Financ 59: 755-793.    
  • 19. Kavussanos MG, Marcoulis SN, Arkoulis AG (2002) Macroeconomic factors and international industry returns. Appl Financ Econ 12: 923-931.
  • 20. Kilian L, Murphy DP (2014) The role of inventories and speculative trading in the global market for crude oil. J Appl Econometrics 29: 454-478.    
  • 21. Kishor NK, Marfatia HA (2013) The time-varying response of foreign stock markets to US monetary policy surprises: Evidence from the Federal funds futures market. J Int Financ Mark Inst Money 24: 1-24.    
  • 22. Lee J, Ryu D (2019) The impacts of public news announcements on intraday implied volatility dynamics. J Futures Mark 39: 656-685.
  • 23. Ma YR, Zhang D, Ji Q, et al. (2019) Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?. Energy Econ 81: 536-544.
  • 24. Nakajima J (2011) Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications. Institute for Monetary and Economic Studies, Bank of Japan.
  • 25. Rangel JG (2011) Macroeconomic news, announcements, and stock market jump intensity dynamics. J Bank Financ 35: 1263-1276.


Reader Comments

your name: *   your email: *  

© 2019 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (

Download full text in PDF

Export Citation

Copyright © AIMS Press All Rights Reserved