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Sustainability 2016, 8(8), 766; doi:10.3390/su8080766

The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective

College of Business Administration, Hunan University, Changsha 410082, China
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Academic Editor: Giuseppe Ioppolo
Received: 12 June 2016 / Revised: 29 July 2016 / Accepted: 4 August 2016 / Published: 8 August 2016
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Abstract

This paper uses a quantile impulse response approach to investigate the impact of oil price shocks on Chinese stock returns. This process allows us to uncover asymmetric effects of oil price shocks on stock market returns by taking into account the different quantiles of oil price shocks. Our results show that the responses of Chinese stock market returns to oil price shocks differ greatly, depending on whether the oil and stock market is in a bust or boom state and whether the shock is driven by demand or supply. The impacts of oil price shocks on Chinese stock returns present asymmetric features. In particular during a bust phase, oil supply and demand shocks significantly depress stock market returns, while during a boom period, the aggregate demand shock enhances stock market returns. These results suggest some important implications for investors and decision makers. View Full-Text
Keywords: Chinese stock market; oil price shock; asymmetric effects; quantile impulse response; quantile vector autoregression Chinese stock market; oil price shock; asymmetric effects; quantile impulse response; quantile vector autoregression
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Zhu, H.; Su, X.; Guo, Y.; Ren, Y. The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective. Sustainability 2016, 8, 766.

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