Munich Personal RePEc Archive

Real oil prices and the international sign predictability of stock returns

Pönkä, Harri (2015): Real oil prices and the international sign predictability of stock returns.

[img]
Preview
PDF
MPRA_paper_68330.pdf

Download (372kB) | Preview

Abstract

We study the role of real oil prices on the directional predictability of excess stock market returns in the U.S. and ten 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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.