Oil prices and stock market anomalies
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.08.003
Abstract: This paper examines the relationship between oil prices and stock market anomalies in China, the largest oil importer country in the world. Prior literature documents both a positive and negative relationship between oil prices and… read more here.
Keywords: oil prices; stock market; prices stock; oil ... See more keywords
Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach
Sign Up to like & getrecommendations! Published in 2019 at "Resources Policy"
DOI: 10.1016/j.resourpol.2019.101520
Abstract: Abstract In this paper, we offer an alternative approach to test the predictive power of commodity prices in stock returns of G7 countries. The new approach accounts for asymmetry, conditional heteroscedasticity, endogeneity, persistence, and structural… read more here.
Keywords: commodity prices; stock returns; approach; prices stock ... See more keywords
A change in the time-varying correlation between oil prices and the stock market
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics Letters"
DOI: 10.1080/13504851.2018.1488037
Abstract: ABSTRACT We investigate the time-varying correlation between oil prices and stock prices. Estimation results from a multivariate DCC-GARCH model reveal that the correlation has changed since the financial crisis. Historically, the correlation has been close… read more here.
Keywords: varying correlation; correlation oil; time varying; correlation ... See more keywords