6. Conclusions
This paper investigates the quantile behaviour of stock price synchronicity in response to oil shocks for Chinese oil firms where spillover effects of the oil market on a firm are separated into firmspecific and market-wide information. Using time series data of listed Chinese oil firms and WTI, the results can be summarized as follows. First, we posit that dynamic conditional correlation is a suitable and advantageous alternative to Rsquare for calculating stock price synchronicity because of its greater ability to capture dynamic linear dependence and model the statistic characteristics of stock returns. The DCC-based synchronicity does report a higher level in comparison to R-square-based measurements. Second, we find strong evidence of size effect. In particular, firms with relatively small capitalization seem to have a lower level of stock price synchronicity than those with large capitalization. The synchronicity of small-cap oil firms is more susceptible to oil shocks than those with very large capitalization. That is, only market-wide factors of small-cap firms respond significantly to oil shocks. Third, we also find that synchronicity has a significant reaction to oil shocks in extreme low quantiles that is consistent with the earlier conclusion that oil shocks show significant impact on energy-related stock indexes and oil firms. Thus, oil shocks contain firm-specific information for Chinese oil firms. Finally, oil shocks have little or no immediate impact on stock price synchronicity; instead, the cumulative lagged effect is evident. This evidence highlights the lagged spillover effect of oil shocks on Chinese oil firms.
