Quantile Granger Analysis Between The Crude Oil Price And Oil Import And Export Country Stock Market

As a kind of non-renewable energy and important energy resources,crude oil plays an important role in macro and micro economic and financial markets.At the same time,it has a very important strategic influence on economic development and social stability.Stocks are a barometer of the economy,so there is a disconnect between the price of crude oil and the stock market.Oil prices fluctuate under the influence of economy,politics,culture,war and so on.Studying and exploring the relationship between crude oil price and oil import and export stock market can avoid the negative impact of crude oil price fluctuation on national stock market.It can promote the healthy and stable operation and development of international financial market,and provide reasonable and moderate theoretical basis for policy makers and investment decision-makers.The Regression Granger causality test can be used to study the financial time series from different points and subspaces.The results are more comprehensive and accurate than normal linear regression and causality test.In order to study the relationship between crude oil price and the national stock market of oil importing and exporting countries,Combining the advantages of fractional regression and granger causality,adding structural breaks,establish Regression Granger test model.Research and analysis of granger causality between crude oil price and stock market under structural breaks.Select nine oil importing countries and seven oil exporting country stock markets as data samples.and the parameter estimation and causality test were conducted at different points and sub-intervals.Finally,the results are analyzed to compare the similarities and differences between the oil and oil import and export markets,and provide theoretical basis and reasonable Suggestions for institutional investors and policy makers.The results show that there is a granger causality between the oil import and export national stock market and the international crude oil market,and there is heterogeneity in the oil importing and exporting countries.The relationship between crude oil price and national stock market is influenced by political events,wars and other factors,thus making the relationship between the two countries become more significant.Crude oil prices on the stock market appear heterogeneity in oil import and export countries,the influence of crude oil prices and the stock market at differentquantiles and interquartile range also exists heterogeneity,oil importer in a bear market will affect the crude oil market,and the oil exporters in the bull market will affect the oil market.The impact of crude oil prices on the national stock market of oil importing and exporting countries is different.Changes in the price of crude oil have caused changes in the stock market.When the oil price rises,the yield of the stock will be higher,and when the oil price falls,the stock return will decrease.A downturn in the stock market means a recession.Investors and policymakers should take different measures in different economic conditions.