A model-free test for contagion between crude oil and stock markets

•This paper extends Hong et al. (2007)'s test for contagion analysis.•Our test has reasonable size and good power in finite sample.•We apply this test to crude oil and stock return data.•Empirical results reveal the strong evidence of contagion.

This paper extends Hong et al. (2007)'s model-free test to analyze the contagion. A simulation experiment reveals that our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion between crude oil and stock markets.