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Revisiting Crude Oil Price and China's Stock Market

Author

Listed:
  • Haoyuan Ding

    (School of International Business Administration, Shanghai University of Finance and Economics)

  • Haichao Fan

    (Institute of World Economy, School of Economics, Fudan University)

  • Huanhuan Wang

    (School of Law, East China Normal University)

  • Wenjing Xie

    (School of Economics and Finance, Shanghai International Studies University)

Abstract

In this paper, we propose a two-step nonlinear quantile causality test approach to investigate the bidirectional relationship between oil price return and China's stock price return using daily data of West Texas Intermediate crude oil prices and Shanghai Stock Exchange index for a period from January 1, 2001, to November 2, 2015. Although we cannot observe a significant linear causality, our results show that there are significant bidirectional causality correlations between oil price return and stock price return in the low quantiles.

Suggested Citation

  • Haoyuan Ding & Haichao Fan & Huanhuan Wang & Wenjing Xie, 2017. "Revisiting Crude Oil Price and China's Stock Market," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 377-391, November.
    • Handle: RePEc:cuf:journl:y:2017:v:18:i:2:ding:fan
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    Citations

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    Cited by:

    1. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, vol. 80(C), pages 950-969.

    More about this item

    Keywords

    Crude Oil Prices; Stock Prices; Causality; Quantile Regression;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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