US stock market regimes and oil price shocks

被引:31
作者
Angelidis, Timotheos [1 ]
Degiannakis, Stavros [2 ]
Filis, George [3 ,4 ]
机构
[1] Univ Peloponnese, Dept Econ, Sch Management & Econ, Tripolis 22100, Greece
[2] Pante Univ, Dept Econ & Reg Dev, GR-17671 Athens, Greece
[3] Bournemouth Univ, Dept Accounting Finance & Econ, Execut Business Ctr, 89 Holdenhurst Rd, Bournemouth BH8 8EB, Dorset, England
[4] Univ Surrey, Fac Econ Business & Law, SEEC, Guildford GU2 5XH, Surrey, England
关键词
Oil price shocks; Oil price volatility; Regime switching; Stock market volatility; US stock market;
D O I
10.1016/j.gfj.2015.01.006
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The paper investigates the ability of oil price returns, oil price shocks and oil price volatility to provide predictive information on the state (high/low risk environment) 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 compared to oil price returns. Overall, the results suggest that oil price returns and volatility possess the power to forecast the state of the US stock market returns and volatility. However, the full effects of oil price returns 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. (C) 2015 Elsevier Inc. All rights reserved.
引用
收藏
页码:132 / 146
页数:15
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