Abstract
The current study examines the association between energy prices such as oil, heating oil, and natural gas prices and their impacts on equity market prices in China by using weekly data of observations from 1996W1 to 2020W4. During the pre and post-crisis periods, we used a novel approach of quantile-on-quantile regression (QQ) and Granger-causality in quantiles. The outcomes disclose the overall dependence between energy prices and equity market prices. The effect of oil prices and heating oil prices on equity prices is the same during the pre-turmoil phase, although the size of the impact is higher in the post-turmoil phase. However, the behaviour of natural gas prices is totally different from the equity prices in the pre and post-crisis periods. The results confirm that natural gas effects are positive on equity market prices during the pre-crisis period but natural gas prices' effects are negative on equity market prices during the post-crisis period.
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