The impact of macroeconomic news on stock returns of energy firms—evidence from 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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2019-08-01
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| Series: | Green Finance |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/GF.2019.3.297/fulltext.html |