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The effects of unexpected crude oil price shocks on Chinese stock markets

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Abstract

This paper assesses the impact of unexpected oil price shocks on Chinese stock markets. We estimated the extent of unexpected oil price shocks to capture the uncertainty characteristics of oil price volatility. We use autoregressive distributed lag model to investigate the cointegration between unexpected oil price shocks and China stock markets. Moreover, we decompose oil price shocks into positive and negative shocks and apply nonlinear autoregressive distributed lag model to investigate whether the oil price shock has a symmetric or asymmetric effect on Chinese stock markets. The empirical results suggest that unexpected oil price shocks have different impacts on the Shanghai and Shenzhen stock markets. The unexpected positive oil prices shock in the previous period has a significant impact on Shenzhen stock market, but has insignificant impact on Shanghai stock market.

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Data availability

The data that support the findings of this study are available from the corresponding author upon request.

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Funding

The authors acknowledge funding supported from Shaanxi Education Department Key Research Base Project of Philosophy and Social Science (Grant No. 19JZ047),Shaanxi Philosophy and Social Science Fund (Grant No. 2022D219), and China Scholarship Council Fund (CSC: 201908610028).

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Authors and Affiliations

  1. School of Economics and Management, Xi’an University of Technology, Xi’an, 710054, Shaanxi, China

    Zhao-Yong Sun

  2. Department of Economics, Western Michigan University, Kalamazoo, MI, 49008-5330, USA

    Wei-Chiao Huang

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  1. Zhao-Yong Sun
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  2. Wei-Chiao Huang
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Correspondence to Zhao-Yong Sun.

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Sun, ZY., Huang, WC. The effects of unexpected crude oil price shocks on Chinese stock markets. Econ Change Restruct 56, 1683–1697 (2023). https://doi.org/10.1007/s10644-023-09487-8

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