The optimal thermal causal path analysis on the relationship between international crude oil price and stock market
ISSN: 0368-492X
Article publication date: 6 February 2018
Issue publication date: 24 May 2018
Abstract
Purpose
The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets.
Design/methodology/approach
The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method.
Findings
The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices.
Originality/value
China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.
Keywords
Acknowledgements
The authors declare that there is no conflict of interest regarding the publication of this paper. This research was supported by the Natural Science Foundation of Guangdong Province of China (Grant 2017A030313396), MOE (Ministry of Education in China) Project of Humanities and Social Sciences (Project no. 17YJAZH109), China State Scholarship Fund (Grant 201706155064), the Fundamental Research Funds for the Central Universities (Grant 2015ZDXM04), and Guangzhou National Innovation-Oriented City Development Research Center (Grant 2017IC02). The authors wish to thank anonymous referees and the editor for their comments and suggestions.
Citation
Yao, C.Z., Kuang, P.C. and Lin, J.N. (2018), "The optimal thermal causal path analysis on the relationship between international crude oil price and stock market", Kybernetes, Vol. 47 No. 6, pp. 1242-1261. https://doi.org/10.1108/K-04-2017-0139
Publisher
:Emerald Publishing Limited
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