Striking Oil: Another Puzzle
Erasmus University Rotterdam - Rotterdam School of Management
New Zealand Institute of Advanced Study; Massey University - Department of Economics and Finance, Albany
APG Asset Management
July 2003, 11
ERIM Report Series Reference No. ERS-2003-082-F&A
We find that changes in oil prices strongly predict future stock market returns in many countries in the world. In our thirty year sample of monthly data for developed stock markets, we find statistically significant predictability in 12 out of the 18 countries and in a world market index. For our shorter time series of emerging markets we obtain similar results. We show that these results are economically significant and robust with respect to the sample period, different kind of oil prices we consider and well known effects like the January effect and the Halloween effect.
Number of Pages in PDF File: 37
Keywords: return predictability, oil prices, international stock markets, market efficiency, stock returns, besliskunde
JEL Classification: M, G3, G1working papers series
Date posted: November 30, 2006
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