Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5054361 | Economic Modelling | 2014 | 10 Pages |
Abstract
In this paper we investigate whether the oil price contributes to stock return volatility for 560 firms listed on the NYSE. Using daily data, we find that the oil price is a significant determinant and predictor of firm return variance. We devise trading strategies based on forecasts of firm return variance using the oil prices and historical averages. We find that investors can make substantial gains in returns by using the oil price in forecasting firm return variances.
Keywords
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Paresh Kumar Narayan, Susan Sunila Sharma,