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

Zhenyu Ge

The Quarterly Review of Economics and Finance, 2023, vol. 89, issue C, 120-125

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.

Keywords: Oil price shocks; China stock market; Asymmetric impact; Quantile-on-quantile regression (search for similar items in EconPapers)
JEL-codes: E44 G15 Q43 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:89:y:2023:i:c:p:120-125

DOI: 10.1016/j.qref.2023.03.009

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