Heterogeneous Responses to China and Oil Shocks: the G7 Stock Markets

Jamal Bouoiyour () and Refk Selmi

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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)
Date: 2018-09
New Economics Papers: this item is included in nep-ene
Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-02409120v1
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Citations: View citations in EconPapers (2)

Published in Journal of Economic Integration, 2018, 33 (3), pp.488 - 513. ⟨10.11130/jei.2018.33.3.488⟩

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Journal Article: Heterogeneous Responses to China and Oil Shocks: the G7 Stock Markets (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02409120

DOI: 10.11130/jei.2018.33.3.488

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