Original paper
Striking Oil: Another Puzzle?
Abstract
Changes in oil prices predict stock market returns worldwide. In our thirty year sample of monthly returns for developed stock markets, we find statistically significant predictability for twelve out of eighteen countries as well as for the world market index. Results are similar for our shorter time series of emerging markets. We find no evidence that our results can be explained by time varying risk premia. Even though oil price shocks...
Paper Details
Title
Striking Oil: Another Puzzle?
Published Date
Jan 1, 2007
Journal
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Notes
History