Do sharp movements in oil prices matter for stock markets?

Yensen Ni, Manhwa Wu, Min-Yuh Day and Paoyu Huang

Physica A: Statistical Mechanics and its Applications, 2020, vol. 539, issue C

Abstract: Sharp movements, including sharp rise and fall of oil prices, may cause stock market fluctuations due to investors’ sentiments aroused. This study pioneers the exploration of trading performance when a sharp rise (fall) in oil prices occurs. We reveal several findings by employing the constituent stocks of DJ 30, FTSE 100, and SSE 50 as our samples. First, investors may profit from trading stocks after over 10% rise in oil prices because such an increase may be regarded as a positive signal of a momentum phenomenon. Second, continuous 2.5% and 5% fall in oil prices for two or even three days can be regarded as positive signals for China because the country is regarded as the largest oil-importing country. Third, trading these constituents’ stocks after over 10% fall in oil prices may result in a stock price rebound.

Keywords: Investing strategies; Constituent stocks; Oil price; Investors’ sentiments (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119316280
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
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:phsmap:v:539:y:2020:i:c:s0378437119316280

DOI: 10.1016/j.physa.2019.122865

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().