“…A well-known study by Kilian and Park (2009) reported that the response of US stock returns to oil price changes depends on whether the latter are driven by supply-side or demand-side shocks. This finding was confirmed by Filis, Degiannakis, and Floros (2011) and Degiannakis, Filis, and Floros (2013), who analysed respectively six net oil-importing and oil-exporting countries, and European industrial sector indices in a time-varying framework. More recently, wavelet analysis for different China Economic Review 34 (2015) 311-321 ☆ We would like to thank the participants at the conference on "China After 35 Years of Transition" held at London Metropolitan University, London, UK, 8-9 May, 2014, for their useful comments and suggestions.1 Given the rise of China as a major economic power, a number of empirical studies have also focused on the impact of oil price changes on Chinese stock returns.…”