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Journal of Economic Integration 2018 September;33(3) :488-513.
DOI: https://doi.org/10.11130/jei.2018.33.3.488
Heterogeneous Responses to China and Oil Shocks: the G7 Stock Markets
Jamal Bouoiyour and 
Refk Selmi 
IRMAPE, ESC Pau Business School, France
CATT, University of Pau, Pau, France
Corresponding Author: Jamal Bouoiyour ,Tel: +33 0559408001, Fax: +33 0559408010, Email: jamal.bouoiyour@univ-pau.fr
Copyright ©2018 Journal of Economic Integration
ABSTRACT
Given its size and integration with the global economy, Chinese economic downturn could have momentous spillovers to the rest of the world and result in a decline in oil prices. This article investigates whether the Chinese economic slowdown and the oil prices affect the G7 stock market. We use a Quantile-on-Quantile regression approach to capture the correlation structure between the G7 stock returns and oil price returns under different G7 market conditions with considering nuances of oil price movements and Chinese slowdown. Data are employed over the period of January 1999 ~ December 2015. Our results show that the responses of G7 stock returns to China and oil shocks are likely to be asymmetric, nonlinear and country-specific. The stock market returns of Germany, Italy and Canada appear the most vulnerable to these shocks. Our results suggest that international investors consider the states of stock market returns and oil price alongside with the interaction effect between China’s economic slowdown and oil market.

JEL Classification
F30: General
F36: Financial Aspects of Economic Integration
G11: Portfolio Choice; Investment Decisions
G15: International Financial Markets
Keywords: G7 stock markets | Chinese economic slowdown | Oil shocks | Quantile-on-Quantile regression
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The Asymmetric Responses of Stock Markets  2018 March;33(1)
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