This paper proposes a panel threshold cointegration approach to investigate the relationship between crude oil shocks and stock markets for the OECD and non-OECD panel from January 1995 to December 2009. Nonlinear cointegration is confirmed for the oil-stock nexus in the panel. Because threshold...

This paper investigates the relationship between oil prices and the Chinese stock market at the sector level. In a panel cointegration and Granger causality framework, the major sectors in China are studied using data collected from July 2001 to December 2010. When the effects of cross-sectional...