An empirical research of crude oil price changes and stock market in China: evidence from the structural breaks and quantile regression

Huiming Zhu, Yawei Guo and Wanhai You

Applied Economics, 2015, vol. 47, issue 56, 6055-6074

Abstract: This article investigates the relationship between real crude oil price changes and the Chinese real stock market at the industry level. Our study uses monthly data over the period 1994:03 to 2013:12. Based on input-output (IO) tables, this article will explore more details for the driving factors of sensitivity to oil price changes. We divide these driving factors into cost- and demand-side dependence. Empirical results reveal that sensitivity varies across different industries and periods based on structural breaks and asymmetric effects of oil price changes. Furthermore, some industries seemingly not directly affected by oil are sensitive to the real oil price changes. Finally, using a penalized quantile regression for panel data, we find that these two factors significantly affect lower, but not upper, quantile of sensitivity.

Date: 2015
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DOI: 10.1080/00036846.2015.1064076

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