Oil and Equity Return Predictability: The Importance of Dissecting Oil Price Changes

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2017-03-24 DOI:10.2139/SSRN.2822061

Haibo Jiang, Georgios Skoulakis, Jinming Xue

引用次数: 6

Abstract

Using data until 2015, we document that oil price changes no longer predict G7 country equity index returns, as has been documented based on earlier sample periods. We use a structural VAR approach to obtain an oil price change decomposition into an oil supply shock, a global demand shock, and an oil-specific demand shock and argue that these three shocks should have different effects on equity markets. The conjecture that oil supply shocks and oil-specific demand shocks (global demand shocks) predict equity returns with a negative (positive) slope is supported by the empirical evidence over the 1986-2015 period. The results are statistically and economically significant and do not appear to be consistent with time-varying risk premia.

查看原文本刊更多论文

石油和股票收益的可预测性:剖析石油价格变化的重要性

使用2015年之前的数据，我们发现油价变化不再能够预测G7国家的股票指数回报，这是基于早期样本时期的记录。我们使用结构性VAR方法将石油价格变化分解为石油供应冲击、全球需求冲击和石油特定需求冲击，并认为这三种冲击应该对股票市场产生不同的影响。1986-2015年期间的经验证据支持了石油供应冲击和石油特定需求冲击(全球需求冲击)预测股票回报为负(正)斜率的猜想。结果在统计上和经济上都是显著的，并且似乎与时变风险溢价不一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.