Firm return volatility and economic gains: The role of oil prices

Paresh Narayan () and Susan Sharma

Economic Modelling, 2014, vol. 38, issue C, 142-151

Abstract: In this paper we investigate whether the oil price contributes to stock return volatility for 560 firms listed on the NYSE. Using daily data, we find that the oil price is a significant determinant and predictor of firm return variance. We devise trading strategies based on forecasts of firm return variance using the oil prices and historical averages. We find that investors can make substantial gains in returns by using the oil price in forecasting firm return variances.

Keywords: Oil price; Firm return volatility; Time series; NYSE (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (103)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:38:y:2014:i:c:p:142-151

DOI: 10.1016/j.econmod.2013.12.004

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