The Impact Of Crude Oil Fluctuation On The Stock Markets Between China And USA Based On Quantile Impulse Response

It is one of the hottest issues in the field of energy finance to measure the impact of crude oil price fluctuation on stock market returns.Classic economics argues that higher crude oil prices can cause higher inflation,consumption and production costs,which would lead to falling stock market returns.However,in practice,the impact of crude oil price fluctuation on stock market returns is very complex.When the market conditions change,the response of stock market to crude oil price is often non-linear and heterogeneous.Therefore,it is necessary and meaningful to construct a econometric model to capture the impact of crude oil price volatility on the impact of different stock markets.In order to analyze the impact of the impact of crude oil price fluctuation on the stock market under different market conditions,this paper constructs the quantile vector by means of vector autoregressive and fractional regression theory,because the impulse response function of traditional impulse effect can only capture the center trend of impact effect.The autoregressive model depicts the dependency of the extreme quantile between the variables,analyzes the validity and consistency of the parameters of the autoregressive model of the autocorrelation model,and constructs the quantile based on the difference of the quota distribution of the stock market before and after the impact of the crude oil price Impulse response function,in the empirical study,the Chinese and American stock market is selected as the research object,and the international crude oil price fluctuation is applied to the Sino-US stock market under the conditions of bull market,bear market and general stock market respectively by means of the positional impulse response analysis model The impact of the impact of the impact of different market impact on the size of the impact of the size of the impact of the duration of the difference between the impact of crude oil prices to explore the factors that affect the stock market returns,and market managers to make relevant policy recommendations.Empirical results show that international crude oil in the general stock market(median position)on the US stock market there is a negative impact on the Chinese stock market does not exist;in the bear market(low points),crude oil on the US stock market are negative To the impact of the bull market(high score points)there is a positive impact;crude oil on the impact of the US stock market is more intense,but the impact of the US stock market than the short duration of China's stock market,while high The impact of the US stock market has a lag effect of the impact period.Crude oil price fluctuation on the impact of the US and American stock market transmission path of the industry chain transmission path,trade transmission path and fee-wealth effect conduction path,while China also exists monetary transmission path.Resulting in the existence of differences between China and the United States is mainly the market type,policy,economic and other reasons.The results show that the impulse response analysis can effectively describe the impact of crude oil on the stock market.