Does price increases in Chinese stock index cause brent crude oil index? Applying threshold cointegration regression
Does price increases in Chinese stock index cause brent crude oil index? Applying threshold cointegration regression
This paper tests whether price increases in Chinese stock index cause Brent crude oil index. We apply threshold cointegration regression. Our findings in the usual regime suggest that oil price increases do not tend to affect Chinese stock market but oil prices better explain stock returns and stock price increases. However, our findings in the unusual regime suggest that stock price increases can be used as predictors for oil price increases, but oil price increases poorly explain stock price i