Interdependence and Contagion Between Crude Oil Bubbles and Chinese Stock Market Bubbles

Studying the interdependence and contagion effects between crude oil bubbles and China’s stock market bubble provides a cross-market perspective for monitoring risks across markets and regulating bubbles. Based on data on West Texas Intermediate (WTI) and China’s Shanghai Composite Index from January 1, 2006, to December 30, 2025, we utilize the Generalized Supremum Augmented Dickey–Fuller method to investigate the crude oil bubble and the Chinese stock market bubble. Furthermore, we use the logistic model to examine the interdependence and contagion effects between the two market bubbles. The results show multiple bubbles in crude oil and Chinese stock markets, accompanied by excessive market volatility. The interdependence and bilateral contagion effect between the two market bubbles in different stages have evolved from weak correlation to strong correlation and then to complex correlation. Finally, we put forward the policy design of crude oil-China stock market linkage governance from the three core dimensions of identification, blocking and buffering.