1,019
Views
36
CrossRef citations to date
0
Altmetric
Original Articles

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

, &

References

  • Acheampong, P., Agalega, E. and Shibu, A. K. (2014) The effect of financial leverage and market size on stock returns on the Ghana stock exchange: evidence from selected stocks in the manufacturing sector, International Journal of Financial Research, 5, 125–34. doi:10.5430/ijfr.v5n1p125
  • Ajmi, A. N., El-montasser, G., Hammoudeh, S. et al. (2014) Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period, Applied Economics, 46, 2167–77. doi:10.1080/00036846.2014.896987
  • Akaike, H. (1998) Information theory and an extension of the maximum likelihood principle, in Selected Papers of Hirotugu Akaike, Parzen, E., Tanabe, K. and Kitagawa, G. (Eds), Springer, New York, pp. 199–213.
  • Aloui, C., Nguyen, D. K. and Njeh, H. (2012) Assessing the impacts of oil price fluctuations on stock returns in emerging markets, Economic Modelling, 29, 2686–95. doi:10.1016/j.econmod.2012.08.010
  • Andrews, D. W. (1993) Tests for parameter instability and structural change with unknown change point, Econometrica: Journal of the Econometric Society, 61, 821–56.
  • Andrews, D. W., Lee, I. and Ploberger, W. (1996) Optimal changepoint tests for normal linear regression, Journal of Econometrics, 70, 9–38. doi:10.1016/0304-4076(94)01682-8
  • Andrews, D. W. and Ploberger, W. (1994) Optimal tests when a nuisance parameter is present only under the alternative, Econometrica: Journal of the Econometric Society, 62, 1383–414.
  • Arouri, M. E. H., Jouini, J. and Nguyen, D. K. (2012) On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness, Energy Economics, 34, 611–17.
  • Arouri, M. E. H. and Nguyen, D. K. (2010) Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade, Energy Policy, 38, 4528–39. doi:10.1016/j.enpol.2010.04.007
  • Arouri, M. E. H. and Rault, C. (2012) Oil prices and stock markets in GCC countries: empirical evidence from panel analysis, International Journal of Finance and Economics, 17, 242–53. doi:10.1002/ijfe.443
  • Bai, J. and Perron, P. (1998) Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47–78.
  • Bai, J. and Perron, P. (2003) Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1–22. doi:10.1002/(ISSN)1099-1255
  • Basher, S. A. and Sadorsky, P. (2006) Oil price risk and emerging stock markets, Global Finance Journal, 17, 224–51. doi:10.1016/j.gfj.2006.04.001
  • Bhar, R. and Nikolova, B. (2009) Oil prices and equity returns in the BRIC countries, The World Economy, 32, 1036–54. doi:10.1111/twec.2009.32.issue-7
  • Binder, M. and Coad, A. (2011) From average Joe’s happiness to miserable Jane and cheerful John: using quantile regressions to analyze the full subjective well-being distribution, Journal of Economic Behavior and Organization, 79, 275–90. doi:10.1016/j.jebo.2011.02.005
  • Broadstock, D. C., Cao, H. and Zhang, D. (2012) Oil shocks and their impact on energy related stocks in China, Energy Economics, 34, 1888–95. doi:10.1016/j.eneco.2012.08.008
  • Broadstock, D. C. and Filis, G. (2014) Oil price shocks and stock market returns: new evidence from the United States and China, Journal of International Financial Markets, Institutions and Money, 33, 417–33. doi:10.1016/j.intfin.2014.09.007
  • Brown, S. P. and Yücel, M. K. (2002) Energy prices and aggregate economic activity: an interpretative survey, The Quarterly Review of Economics and Finance, 42, 193–208. doi:10.1016/S1062-9769(02)00138-2
  • Ciner, C. (2001) Energy shocks and financial markets: nonlinear linkages, Studies in Nonlinear Dynamics and Econometrics, 5, 203–12. doi:10.1162/10811820160080095
  • Cologni, A. and Manera, M. (2009) The asymmetric effects of oil shocks on output growth: A Markov-switching analysis for the G-7 countries, Economic Modelling, 26, 1–29. doi:10.1016/j.econmod.2008.05.006
  • Cong, R.-G., Wei, Y.-M., Jiao, J.-L. et al. (2008) Relationships between oil price shocks and stock market: an empirical analysis from China, Energy Policy, 36, 3544–53. doi:10.1016/j.enpol.2008.06.006
  • Cunado, J. and Perez De Gracia, F. (2014) Oil price shocks and stock market returns: evidence for some European countries, Energy Economics, 42, 365–77. doi:10.1016/j.eneco.2013.10.017
  • EIA. (2014) Country Analysis: China. US Energy Information Administration. Available at http://www.eia.gov/beta/international/analysis_includes/countries_long/China/china.pdf (accessed 14 May 2015).
  • El-Sharif, I., Brown, D., Burton, B. et al. (2005) Evidence on the nature and extent of the relationship between oil prices and equity values in the UK, Energy Economics, 27, 819–30. doi:10.1016/j.eneco.2005.09.002
  • Elyasiani, E., Mansur, I. and Odusami, B. (2011) Oil price shocks and industry stock returns, Energy Economics, 33, 966–74. doi:10.1016/j.eneco.2011.03.013
  • Faff, R. W. and Brailsford, T. J. (1999) Oil price risk and the Australian stock market, Journal of Energy Finance and Development, 4, 69–87. doi:10.1016/S1085-7443(99)00005-8
  • Fama, E. F. and French, K. R. (1998) Value versus growth: the international evidence, The Journal of Finance, 53, 1975–99. doi:10.1111/0022-1082.00080
  • Ferderer, J. P. (1996) Oil price volatility and the macroeconomy: a solution to the asymmetry puzzle, Journal of Macroeconomics, 18, 1–26. doi:10.1016/S0164-0704(96)80001-2
  • Galvao, A. F. and Montes-Rojas, G. V. (2010) Penalized quantile regression for dynamic panel data, Journal of Statistical Planning and Inference, 140, 3476–97. doi:10.1016/j.jspi.2010.05.008
  • Gogineni, S. (2010) Oil and the stock market: an industry level analysis, Financial Review, 45, 995–1010. doi:10.1111/fire.2010.45.issue-4
  • Hamilton, J. D. (1983) Oil and the macroeconomy since World War II, The Journal of Political Economy, 91, 228–48.
  • Hamilton, J. D. and Herrera, A. M. (2004) Oil shocks and aggregate macroeconomic behavior: the role of monetary policy: a comment, Journal of Money, Credit and Banking, 36, 265–86. doi:10.1353/mcb.2004.0012
  • He, H., Chen, S., Yao, S. et al. (2015) Stock market interdependence between China and the world: a multi-factor R-squared approach, Finance Research Letters, 13, 125–29. doi:10.1016/j.frl.2015.02.005
  • Hooker, M. A. (2002) Are oil shocks inflationary?: asymmetric and nonlinear specifications versus changes in regime, Journal of Money, Credit, and Banking, 34, 540–61. doi:10.1353/mcb.2002.0041
  • Huang, R. D., Masulis, R. W. and Stoll, H. R. (1996) Energy shocks and financial markets, Journal of Futures Markets, 16, 1–27. doi:10.1002/(ISSN)1096-9934
  • Jones, C. M. and Kaul, G. (1996) Oil and the stock markets, The Journal of Finance, 51, 463–91. doi:10.1111/j.1540-6261.1996.tb02691.x
  • Jorion, P. (1990) The exchange-rate exposure of US multinationals, Journal of Business, 63, 331–45.
  • Khalifa, A. A., Hammoudeh, S. and Otranto, E. (2014) Patterns of volatility transmissions within regime switching across GCC and global markets, International Review of Economics and Finance, 29, 512–24. doi:10.1016/j.iref.2013.08.002
  • Khoo, A. (1994) Estimation of foreign exchange exposure: an application to mining companies in Australia, Journal of International Money and Finance, 13, 342–63. doi:10.1016/0261-5606(94)90032-9
  • Kilian, L. and Park, C. (2009) The impact of oil price shocks on the US stock market, International Economic Review, 50, 1267–87. doi:10.1111/iere.2009.50.issue-4
  • Kim, K.-H. (2003) Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model, Review of Financial Economics, 12, 301–13. doi:10.1016/S1058-3300(03)00026-0
  • Koenker, R. (2004) Quantile regression for longitudinal data, Journal of Multivariate Analysis, 91, 74–89. doi:10.1016/j.jmva.2004.05.006
  • Koenker, R. and Bassett, G. J. (1978) Regression quantiles, Econometrica, 46, 33–50.
  • Koenker, R. and Hallock, K. F. (2001) Quantile regression, Journal of Economic Theory, 15, 143–56.
  • Lamarche, C. (2010) Robust penalized quantile regression estimation for panel data, Journal of Econometrics, 157, 396–408. doi:10.1016/j.jeconom.2010.03.042
  • Lee, -C.-C. and Zeng, J.-H. (2011) The impact of oil price shocks on stock market activities: asymmetric effect with quantile regression, Mathematics and Computers in Simulation, 81, 1910–20. doi:10.1016/j.matcom.2011.03.004
  • Li, S.-F., Zhu, H.-M. and Yu, K. (2012) Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks, Energy Economics, 34, 1951–8. doi:10.1016/j.eneco.2012.08.027
  • Li, X.-L., Chang, T., Miller, S. M. et al. (2015) The co-movement and causality between the US housing and stock markets in the time and frequency domains, International Review of Economics and Finance, 38, 220–33. doi:10.1016/j.iref.2015.02.028
  • Lin, P.-T. and Fuerst, F. (2014) The integration of direct real estate and stock markets in Asia, Applied Economics, 46, 1323–34. doi:10.1080/00036846.2013.872763
  • Liu, Y.-S. and Su, C.-W. (2010) The relationship between the real estate and stock markets of China: evidence from a nonlinear model, Applied Financial Economics, 20, 1741–49. doi:10.1080/09603107.2010.524616
  • Malkiel, B. and Jun, D. (2009) The “value” effect and the market for Chinese stocks, Emerging Markets Review, 10, 227–41. doi:10.1016/j.ememar.2009.06.003
  • Managi, S. and Okimoto, T. (2013) Does the price of oil interact with clean energy prices in the stock market?, Japan and the World Economy, 27, 1–9. doi:10.1016/j.japwor.2013.03.003
  • McSweeney, E. J. and Worthington, A. C. (2008) A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980–2006, Studies in Economics and Finance, 25, 131–45. doi:10.1108/10867370810879447
  • Miller, J. I. and Ratti, R. A. (2009) Crude oil and stock markets: stability, instability, and bubbles, Energy Economics, 31, 559–68. doi:10.1016/j.eneco.2009.01.009
  • Mork, K. A. (1989) Oil and the macroeconomy when prices go up and down: an extension of Hamilton’s results, Journal of Political Economy, 97, 740–4.
  • Moya-Martínez, P., Ferrer-Lapeña, R. and Escribano-Sotos, F. (2014) Oil price risk in the Spanish stock market: an industry perspective, Economic Modelling, 37, 280–90. doi:10.1016/j.econmod.2013.11.014
  • Nandha, M. and Faff, R. (2008) Does oil move equity prices? A global view, Energy Economics, 30, 986–97. doi:10.1016/j.eneco.2007.09.003
  • Nguyen, C. C. and Bhatti, M. I. (2012) Copula model dependency between oil prices and stock markets: evidence from China and Vietnam, Journal of International Financial Markets, Institutions and Money, 22, 758–73. doi:10.1016/j.intfin.2012.03.004
  • Ono, S. (2011) Oil price shocks and stock markets in BRICs, The European Journal of Comparative Economics, 8, 29–45.
  • Park, J. and Ratti, R. A. (2008) Oil price shocks and stock markets in the US and 13 European countries, Energy Economics, 30, 2587–608. doi:10.1016/j.eneco.2008.04.003
  • Ramos, S. B. and Veiga, H. (2013) Oil price asymmetric effects: answering the puzzle in international stock markets, Energy Economics, 38, 136–45. doi:10.1016/j.eneco.2013.03.011
  • Reboredo, J. C. (2010) Nonlinear effects of oil shocks on stock returns: a Markov-switching approach, Applied Economics, 42, 3735–44. doi:10.1080/00036840802314606
  • Sadorsky, P. (1999) Oil price shocks and stock market activity, Energy Economics, 21, 449–69. doi:10.1016/S0140-9883(99)00020-1
  • Sadorsky, P. (2001) Risk factors in stock returns of Canadian oil and gas companies, Energy Economics, 23, 17–28. doi:10.1016/S0140-9883(00)00072-4
  • Sadorsky, P. and Henriques, I. (2001) Multifactor risk and the stock returns of Canadian paper and forest products companies, Forest Policy and Economics, 3, 199–208.
  • Schwarz, G. (1978) Estimating the dimension of a model, The Annals of Statistics, 6, 461–4. doi:10.1214/aos/1176344136
  • Shahrur, H. (2005) Industry structure and horizontal takeovers: analysis of wealth effects on rivals, suppliers, and corporate customers, Journal of Financial Economics, 76, 61–98. doi:10.1016/j.jfineco.2004.01.001
  • Tang, W., Wu, L. and Zhang, Z. (2010) Oil price shocks and their short- and long-term effects on the Chinese economy, Energy Economics, 32, S3–S14. doi:10.1016/j.eneco.2010.01.002
  • Wang, K., Chen, Y.-H. and Huang, S.-W. (2011) The dynamic dependence between the Chinese market and other international stock markets: a time-varying copula approach, International Review of Economics and Finance, 20, 654–64. doi:10.1016/j.iref.2010.12.003
  • Wang, X. and Zhang, C. (2014) The impacts of global oil price shocks on China’s fundamental industries, Energy Policy, 68, 394–402. doi:10.1016/j.enpol.2014.01.020
  • Wang, Y., Wu, C. and Yang, L. (2013) Oil price shocks and stock market activities: evidence from oil-importing and oil-exporting countries, Journal of Comparative Economics, 41, 1220–39. doi:10.1016/j.jce.2012.12.004
  • Zhang, C. and Chen, X. (2011) The impact of global oil price shocks on China’s stock returns: evidence from the ARJI (-ht)-EGARCH model, Energy, 36, 6627–33. doi:10.1016/j.energy.2011.08.052

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.