Oil prices as a predictor of stock market returns

IF 5.2 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2026-03-01 Epub Date: 2026-01-16 DOI:10.1016/j.jcomm.2026.100540

Andrianos E. Tsekrekos, Konstantinos I. Vasileiadis

引用次数: 0

Abstract

Oil price changes have been considered a good (negative) predictor of stock market returns. In this study, we show via predictive regressions, for an extensive dataset of 44 developed and developing stock markets, that this negative relationship is present only up to the global financial crisis and has largely disappeared ever since. We document an evident shift in the predictive behavior of oil price changes after the 2008 global financial crisis, especially in developed stock markets, a finding that is robust to several additional tests we perform. A possible explanation of the change in the oil-stock return relationship post 2008 could be the increased significance of industrial metals (mainly copper and aluminum). We show that after 2008, industrial metals price changes have gained significance as stock market predictors, mainly in recessions, a finding that is partly consistent with the existing literature on stock market predictability.

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石油价格作为股市回报的预测指标

石油价格的变化被认为是股市回报的一个很好的（负的）预测指标。在这项研究中，我们通过预测回归，对44个发达和发展中股票市场的广泛数据集进行了分析，结果表明，这种负相关关系仅在全球金融危机之前存在，此后基本上消失了。我们记录了2008年全球金融危机后油价变化的预测行为的明显转变，特别是在发达国家的股票市场，这一发现对我们进行的几项额外测试都是稳健的。2008年后石油-股票收益关系变化的一个可能解释是工业金属（主要是铜和铝）的重要性增加。我们发现，在2008年之后，工业金属价格变化作为股市预测指标具有重要意义，主要是在衰退中，这一发现与现有的股市可预测性文献部分一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.