Analysis Of Dependence Between Crude Oil And Stock Market Based On Wavelet Threshold Rolling Quantile Regression

With the acceleration of the world’s industrialization,crude oil has become a highly dependent resource,and has brought a great impact on the economy of all countries in the world,which will also be transmitted to the stock market of all countries.At the same time,since the 21 st century,the world trade has entered a period of rapid development,frequent and large trade activities will bring not a small impact on the national foreign exchange market,and the large fluctuations of the foreign exchange market will also have a large impact on the stock market.As the leading emerging economies,BRICS has achieved remarkable development achievements.In particular,it was the first to recover from the global financial crisis in 2008 and has entered a new development cycle.Meanwhile,with the rise of economic development and economic status of BRICS,its position in the international energy market has gradually increased.In view of this,this paper constructs a wavelet quantile regression model to study the effect of international crude oil and exchange rate on BRICS stock markets.In this paper,we choose the WTI crude oil price,the exchange rate of BRICS currencies against the US dollar,and the domestic stock market as the research objects to analyze the effect of crude oil price and exchange rate on the stock market.We select the diurnal data from 2009 to 2021,combined with the wavelet threshold quantile regression model for empirical study.This paper firstly makes a detailed mechanism analysis of the dependence relationship between oil price,exchange rate and stock market.Then,according to the wavelet transform and threshold quantile regression theory,the corresponding empirical model is established.Descriptive statistical analysis and parameter estimation were carried out on the data samples.After parameter estimation,Wald test and robustness test of replacement variables were conducted.Finally,we use the rolling window model to analyze whether changes in the international financial environment will change the impact of oil prices and exchange rates on the stock market.The empirical results show that: First,our results confirm that the impact of crude oil price on BRICS stock returns is asymmetric.Positive shocks to oil prices have a greater impact on bull markets,negative shocks have a greater impact on bear markets,exchange rates have a dampening effect on stock returns.Second,the impact of crude oil and exchange rate on BRICS stock markets has a short-term instantaneous enhancement effect,while the impact of exchange rate has no obvious heterogeneity.Under extreme market conditions,flexible exchange rate policies should be combined to face the impact of oil prices.In addition,fluctuations in the macro financial environment also exacerbate the impact of oil prices and exchange rates on the stock market,and these fluctuations are heterogeneous.In addition,after international financial events,the peak value of the influence coefficient of oil price and exchange rate will shift in different scales,so investors should consider the efffect of oil price and exchange rate on stock market from the perspective of time frequency.