The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression

In this paper, we decompose oil price shocks into supply shocks, demand shocks, and risk shocks, and explore their asymmetric impact on China stock market. Applying the quantile-on-quantile regression approach, we find that supply shocks have no significant impact on China stock market which is in a bearish state, but positively affect the bullish market. Oil demand shocks have a greater positive impact on the bullish market than the bearish market. The negative risk shocks, suggesting a risk reduction, is beneficial for the stock market breaking away from the bearish state, but have no significant impact on the bullish market. Meanwhile, the positive risk shocks have a higher degree of negative influence on the bullish stock market than the bearish market.(c) 2023 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.