Striking Oil: Another Puzzle

37 Pages Posted: 30 Nov 2006

See all articles by Gerben Driesprong

Gerben Driesprong

Erasmus University Rotterdam - Rotterdam School of Management

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; Massey University

Benjamin Maat

APG Asset Management

Multiple version iconThere are 3 versions of this paper

Date Written: July 2003, 11

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.

Keywords: return predictability, oil prices, international stock markets, market efficiency, stock returns, besliskunde

JEL Classification: M, G3, G1

Suggested Citation

Driesprong, Gerben and Jacobsen, Ben and Maat, Benjamin, Striking Oil: Another Puzzle (July 2003, 11). ERIM Report Series Reference No. ERS-2003-082-F&A. Available at SSRN: https://ssrn.com/abstract=474424

Gerben Driesprong

Erasmus University Rotterdam - Rotterdam School of Management ( email )

P.O. Box 1738
Room T08-21
3000 DR Rotterdam, 3000 DR
Netherlands
+31 10 4081817 (Phone)
+31 10 4089017 (Fax)

Ben Jacobsen (Contact Author)

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB
Netherlands

Massey University ( email )

Auckland
New Zealand

Benjamin Maat

APG Asset Management ( email )

P.O. Box 75283
Amsterdam, 1070 AG
Netherlands
+31(0)206048302 (Fax)

HOME PAGE: http://nl.linkedin.com/pub/benjamin-maat/6/17b/126

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