Data for: Quantile dependence of oil price movements and stock returns

Abstract of associated article: We examine the impact of quantile and interquantile oil price movements on different stock return quantiles by testing the hypothesis of equality in conditional and unconditional quantile distribution functions of stock returns. We capture quantile dependence under different stock market conditions, while taking into account different kinds of oil price movements, by computing unconditional and conditional stock return quantiles through marginal models for stock returns and copula functions for oil-stock dependence. Analyzing stock return data for three developed economies (the US, the UK and the European Monetary Union) and the five BRICS countries (Brazil, Russia, India, China and South Africa) for 2000 to 2014, our results indicate that: (1) the impact of extreme upward and downward oil price changes on upper and lower stock price quantiles was much smaller before compared to after crisis onset; (2) the downside spillover effects were larger than the upside spillover effects for most countries before crisis onset and for all countries after crisis onset; and (3) small positive and negative oil price movements had no impact on any stock return quantiles neither before nor after crisis onset.关联学术论文摘要：本研究通过检验股票收益率条件分位数分布函数与无条件分位数分布函数相等的假设，考察了分位数层面及分位数间油价波动对不同股票收益率分位数的影响。本研究通过构建股票收益率边际模型与刻画油价-股市相依性的Copula函数（Copula），计算股票收益率的无条件与条件分位数，以此捕捉不同股市环境下的分位数相依特征，同时兼顾各类油价波动类型。本研究分析了2000年至2014年间三个发达经济体（美国、英国与欧元区）及金砖五国（BRICS）的股票收益率数据，研究结果表明：（1）相较于危机爆发前，危机爆发后极端油价涨跌对股市涨跌尾部分位数的影响幅度显著更小；（2）危机爆发前的多数国家以及危机爆发后的所有国家中，负向溢出效应均大于正向溢出效应；（3）无论危机爆发前后，小幅正负向油价波动均不会对任意股票收益率分位数产生影响。