Revisiting Crude Oil Price and China's Stock Market

被引：0

作者：

Ding, Haoyuan ^{[1
]}

Fan, Haichao ^{[2
]}

Wang, Huanhuan ^{[3
]}

Xie, Wenjing ^{[4
]}

机构：

[1] Shanghai Univ Econ & Finance, Sch Int Business Adm, Shanghai, Peoples R China

[2] Fudan Univ, Sch Econ, Inst World Econ, Shanghai, Peoples R China

[3] East China Normal Univ, Sch Law, Shanghai, Peoples R China

[4] Shanghai Int Studies Univ, Sch Econ & Finance, Shanghai, Peoples R China

来源：

ANNALS OF ECONOMICS AND FINANCE | 2017年 / 18卷 / 02期

关键词：

Cude Oil Prices; Stock Prices; Causality; Quantile Regression; UNIT-ROOT; TIME-SERIES; SHOCKS; STATISTICS; DEPENDENCE; RETURNS; IMPACT; TESTS;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we propose a two-step nonlinear quantile causality test approach to investigate the bidirectional relationship between oil price return and China's stock price return using daily data of West Texas Intermediate crude oil prices and Shanghai Stock Exchange index for a period from January 1, 2001, to November 2, 2015. Although we cannot observe a significant linear causality, our results show that there are significant bidirectional causality correlations between oil price return and stock price return in the low quantiles.

引用

页码：377 / 391

页数：15

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