The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective

Huiming Zhu, Xianfang Su, Yawei Guo and Yinghua Ren
Additional contact information
Huiming Zhu: College of Business Administration, Hunan University, Changsha 410082, China
Xianfang Su: College of Business Administration, Hunan University, Changsha 410082, China
Yawei Guo: College of Business Administration, Hunan University, Changsha 410082, China
Yinghua Ren: College of Business Administration, Hunan University, Changsha 410082, China

Sustainability, 2016, vol. 8, issue 8, 1-19

Abstract: This paper uses a quantile impulse response approach to investigate the impact of oil price shocks on Chinese stock returns. This process allows us to uncover asymmetric effects of oil price shocks on stock market returns by taking into account the different quantiles of oil price shocks. Our results show that the responses of Chinese stock market returns to oil price shocks differ greatly, depending on whether the oil and stock market is in a bust or boom state and whether the shock is driven by demand or supply. The impacts of oil price shocks on Chinese stock returns present asymmetric features. In particular during a bust phase, oil supply and demand shocks significantly depress stock market returns, while during a boom period, the aggregate demand shock enhances stock market returns. These results suggest some important implications for investors and decision makers.

Keywords: Chinese stock market; oil price shock; asymmetric effects; quantile impulse response; quantile vector autoregression (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
https://www.mdpi.com/2071-1050/8/8/766/pdf (application/pdf)
https://www.mdpi.com/2071-1050/8/8/766/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:8:y:2016:i:8:p:766-:d:75561

Access Statistics for this article

Sustainability is currently edited by Ms. Alexandra Wu

More articles in Sustainability from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().