Revisiting crude oil price and China’s stock market

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.