Striking Oil: Another Puzzle

Gerben Driesprong, Ben Jacobsen and Benjamin Maat

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: We 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.

Keywords: besliskunde; international stock markets; market efficiency; oil prices; return predictability; stock returns (search for similar items in EconPapers)
JEL-codes: G1 G3 M (search for similar items in EconPapers)
Date: 2003-11-07
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Citations: View citations in EconPapers (5)

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