Striking Oil: Another Puzzle?
Striking Oil: Another Puzzle?
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DOI：
10.2139/ssrn.460500
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发表时间：
2003-11
期刊：
影响因子：
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通讯作者：
Gerben Driesprong;B. Jacobsen;B. Maat
中科院分区：
文献类型：
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作者：
Gerben Driesprong;B. Jacobsen;B. Maat
我们发现，在世界上许多国家，石油价格的变化强烈地预测了未来股票市场的回报。在我们对发达国家股票市场30年的月度数据样本中，我们发现18个国家中有12个国家和世界市场指数具有统计学显著的可预测性。对于新兴市场的较短时间序列，我们得到了类似的结果。我们表明，这些结果是经济上显着的和稳健的样本期，不同种类的石油价格，我们认为和众所周知的影响，如一月效应和万圣节效应。
textabstractWe 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.