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Striking Oil: Another PuzzleGerben DriesprongErasmus University Rotterdam - Rotterdam School of Management Ben JacobsenNew Zealand Institute of Advanced Study; Massey University - Department of Economics and Finance, Albany Benjamin MaatAPG Asset Management July 2003, 11 ERIM Report Series Reference No. ERS-2003-082-F&A Abstract: 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, G1 working papers seriesDate posted: November 30, 2006Suggested CitationContact Information
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