Real oil prices and the international sign predictability of stock returns

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http://hdl.handle.net/10138/303629

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Pönkä , A H M 2016 , ' Real oil prices and the international sign predictability of stock returns ' , Finance research letters , vol. 17 , pp. 79-87 . https://doi.org/10.1016/j.frl.2016.01.011

Title: Real oil prices and the international sign predictability of stock returns
Author: Pönkä, Antti Harri Miikka
Other contributor: University of Helsinki, Department of Political and Economic Studies (2010-2017)

Date: 2016-05-31
Language: eng
Number of pages: 9
Belongs to series: Finance research letters
ISSN: 1544-6123
DOI: https://doi.org/10.1016/j.frl.2016.01.011
URI: http://hdl.handle.net/10138/303629
Abstract: We study the role of real oil prices on the directional predictability of excess stock market returns in the U.S. and 10 other countries using probit models. Previous studies have shown that oil price shocks have adverse effects on stock returns. We extend this literature by focusing on the sign component of excess returns. Our findings indicate that real oil prices are useful predictors of the direction of stock returns in a number of markets over and above commonly used predictors, but results vary substantially between countries. Interestingly, we find only limited evidence of asymmetric effects of oil price shocks.
Subject: 511 Economics
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