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Has oil price predicted stock returns for over a century?

Narayan,PK and Gupta,R 2014, Has oil price predicted stock returns for over a century?, Energy Economics, vol. 48, pp. 18-23, doi: 10.1016/j.eneco.2014.11.018.

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Title Has oil price predicted stock returns for over a century?
Author(s) Narayan,PK
Gupta,R
Journal name Energy Economics
Volume number 48
Start page 18
End page 23
Total pages 6
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2014
ISSN 0140-9883
Keyword(s) Oil price
Predictability
Stock returns
Summary This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150. years (1859:10-2013:12) and applies a predictive regression model that accommodates three salient features of the data, namely, a persistent and endogenous oil price, and model heteroscedasticity. Three key findings are unraveled: first, oil price predicts US stock returns. Second, in-sample evidence is corroborated by out-sample evidence of predictability. Third, both positive and negative oil price changes are important predictors of US stock returns, with negative changes relatively more important. Our results are robust to the use of different estimators and choice of in-sample periods.
Language eng
DOI 10.1016/j.eneco.2014.11.018
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910204 Industry Costs and Structure
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30069676

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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