The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches
用分位数对分位数和分位数因果关系方法，研究国际原油期货价格对中国传统和新能源板块股价的影响，发现影响随市场状态变化且受极端事件干扰，对政策制定者和投资者有参考价值。
Abstract This study employs the quantile‐on‐quantile method, casualty‐in‐quantiles method, and rolling window regression to investigate the impact of international crude oil future prices on the stock prices of both traditional and new energy sectors in China. The empirical results reveal that the effect of oil future prices on the energy stock market in China varies across quantiles and is easily affected by extreme events. Specifically, the impact of oil future prices on the new energy stock market is significant and volatile, while it is less volatile and displays a negative correlation with the traditional energy market. Furthermore, a concentrated positive correlation is observed in the middle and low quantile stages of the energy stock market. A significant Granger causality exists between oil future prices and the energy stock market in different quantiles. Those findings can provide useful guidance for policymakers, investors, and consumers.