Are There any Influences of Oil Prices to Chinese and American Stock Returns?

This paper tries to study the influences of international oil price to Chinese and American stock markets. We first eliminate the impacts of the calendar effect and the time trends on oil futures returns and stock market returns using Gallant, Rossi and Tachen´s method combining with stepwise regression method, and then do quantile regression analysis according to the adjusted data. The empirical results are summarized as follows: the influences of oil futures returns to American stock market returns are significant at quantiles below 0.06 and from 0.74 to 0.80, but not significant at other quantiles; the influences of oil futures returns to Shanghai and Shenzhen stock market returns are not significant. The second phenomenon should be paid attention by Chinese stock investors.