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- W631769457 abstract "The paper investigates whether oil price shocks and oil price volatility provide predictive information for the state of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us to assess whether they contain incremental forecasting power on the state of the stock market returns and volatility, a case that does not hold for the oil price returns. Overall, the results suggest that oil price returns and volatility possess the power to forecast the state of stock market returns and volatility. The full effects of oil price returns, though, can only be revealed when the oil price shocks are disentangled and as such we claim that the oil price shocks have an incremental power in forecasting the state of the stock market. The findings are important for stock market forecasters and investors dealing with stock and derivatives markets." @default.
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- W631769457 date "2013-01-01" @default.
- W631769457 modified "2023-10-03" @default.
- W631769457 title "Oil Price Shocks and Volatility Do Predict Stock Market Regimes" @default.
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- W631769457 doi "https://doi.org/10.2139/ssrn.4184361" @default.
- W631769457 hasPublicationYear "2013" @default.
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