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The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression

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  • Ge, Zhenyu

Abstract

In this paper, we decompose oil price shocks into supply shocks, demand shocks, and risk shocks, and explore their asymmetric impact on China stock market. Applying the quantile-on-quantile regression approach, we find that supply shocks have no significant impact on China stock market which is in a bearish state, but positively affect the bullish market. Oil demand shocks have a greater positive impact on the bullish market than the bearish market. The negative risk shocks, suggesting a risk reduction, is beneficial for the stock market breaking away from the bearish state, but have no significant impact on the bullish market. Meanwhile, the positive risk shocks have a higher degree of negative influence on the bullish stock market than the bearish market.

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  • Ge, Zhenyu, 2023. "The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 120-125.
    • Handle: RePEc:eee:quaeco:v:89:y:2023:i:c:p:120-125
    DOI: 10.1016/j.qref.2023.03.009
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    More about this item

    Keywords

    Oil price shocks; China stock market; Asymmetric impact; Quantile-on-quantile regression;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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