Oil prices and UK industry-level stock returns

Bing Xu ()

Applied Economics, 2015, vol. 47, issue 25, 2608-2627

Abstract: In this article, we study whether the behaviour of oil prices can be used as a reliable predictor for the disaggregated industry-level stock market indices. We find strong evidence for the relevance of changes in oil price as a predictor for the returns of UK industry portfolios, while this relevance is heterogeneous across industries. In an out-of-sample framework, we find that both the contemporaneous and lagged oil price changes do predict UK industry stock market returns. The predictive power is more transient for the latter case, and mostly appearing after allowing for time variation in the relative performance. In addition, we find some evidence of asymmetry in the oil-stock price relationships.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1008760 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:47:y:2015:i:25:p:2608-2627

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2015.1008760

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().