Revisiting Crude Oil Price and China's Stock Market
Haoyuan Ding (),
Huanhuan Wang () and
Wenjing Xie ()
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Huanhuan Wang: School of Law, East China Normal University
Wenjing Xie: School of Economics and Finance, Shanghai International Studies University
Annals of Economics and Finance, 2017, vol. 18, issue 2, 377-391
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.
Keywords: Crude Oil Prices; Stock Prices; Causality; Quantile Regression (search for similar items in EconPapers)
JEL-codes: C22 Q41 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2017:v:18:i:2:ding:fan
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