Real oil prices and the international sign predictability of stock returns

Harri Pönkä

Finance Research Letters, 2016, vol. 17, issue C, 79-87

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.

Keywords: Equity returns; Real oil prices; Sign predictability; Probit model (search for similar items in EconPapers)
JEL-codes: C22 G12 G17 Q49 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316300022
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Real oil prices and the international sign predictability of stock returns (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:79-87

DOI: 10.1016/j.frl.2016.01.011

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().