 Heterogeneous Responses to China and Oil Shocks: the G7 Stock MarketsJamal Bouoiyour () and Refk Selmi Journal of Economic Integration, 2018, vol. 33, issue 3, 488-513 Abstract: Given its size and integration with the global economy, Chinese economic downturn could have momentous spillovers to the rest of the world and result in a decline in oil prices. This article investigates whether the Chinese economic slowdown and the oil prices affect the G7 stock market. We use a Quantile-on-Quantile regression approach to capture the correlation structure between the G7 stock returns and oil price returns under different G7 market conditions with considering nuances of oil price movements and Chinese slowdown. Data are employed over the period of January 1999 ~ December 2015. Our results show that the responses of G7 stock returns to China and oil shocks are likely to be asymmetric, nonlinear and country-specific. The stock market returns of Germany, Italy and Canada appear the most vulnerable to these shocks. Our results suggest that international investors consider the states of stock market returns and oil price alongside with the interaction effect between China’s economic slowdown and oil market. Keywords: G7 stock markets; Chinese economic slowdown; Oil shocks; Quantile-on-Quantile regression. (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0750 Access Statistics for this article Journal of Economic Integration is currently edited by Seongeun Kim More articles in Journal of Economic Integration from Center for Economic Integration, Sejong University Contact information at EDIRC. |
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