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Oil price uncertainty, global industry returns and active investment strategies

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dc.contributor.authorDemirer, Riza
dc.contributor.authorYüksel, Aydin
dc.contributor.authorYuksel, Asli
dc.contributor.institutionDemirer, Riza, Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, United States
dc.contributor.institutionYüksel, Aydin, Department of Management, Işik Üniversitesi, Istanbul, Turkey
dc.contributor.institutionYuksel, Asli, Department of International Finance, Bahçeşehir Üniversitesi, Istanbul, Turkey
dc.date.accessioned2025-10-05T15:43:29Z
dc.date.issued2020
dc.description.abstractThis paper shows that time-varying oil return volatility predicts regime transitions across a majority of global stock sectors, particularly for durables, financials, industrials, oil & gas, telecommunications and utilities. Global stock sectors yield significantly higher returns during periods of low oil market uncertainty and an active, forward-looking investment strategy conditional on the state of oil market volatility yields significantly positive excess returns even after adjusting for systematic risk exposures. The findings show that the predictive information captured by oil market fundamentals can be utilized in active sector rotation strategies. © 2020 Elsevier B.V., All rights reserved.
dc.identifier.doi10.1016/j.jeca.2020.e00177
dc.identifier.issn17034949
dc.identifier.scopus2-s2.0-85089102236
dc.identifier.urihttps://doi.org/10.1016/j.jeca.2020.e00177
dc.identifier.urihttps://hdl.handle.net/20.500.14719/10224
dc.identifier.volume22
dc.language.isoen
dc.publisherElsevier B.V.
dc.relation.oastatusAll Open Access
dc.relation.oastatusGreen Accepted Open Access
dc.relation.oastatusGreen Open Access
dc.relation.sourceJournal of Economic Asymmetries
dc.subject.authorkeywordsGlobal Sector Indices
dc.subject.authorkeywordsMarkov Switching
dc.subject.authorkeywordsOil Volatility
dc.subject.authorkeywordsPredictability
dc.titleOil price uncertainty, global industry returns and active investment strategies
dc.typeArticle
dcterms.referencesAdam, Klaus, Stock Market Volatility and Learning, Journal of Finance, 71, 1, pp. 33-82, (2016), Ang, Andrew, Regime switches in interest rates, Journal of Business and Economic Statistics, 20, 2, pp. 163-182, (2002), Hedi Arouri, Mohamed El, Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade, Energy Policy, 38, 8, pp. 4528-4539, (2010), Bansal, Ravi, Risks for the long run: A potential resolution of asset pricing puzzles, Journal of Finance, 59, 4, pp. 1481-1509, (2004), Basher, Syed Abul, The impact of oil-market shocks on stock returns in major oil-exporting countries, Journal of International Money and Finance, 86, pp. 264-280, (2018), Choudhry, Taufiq, Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests, Journal of Banking and Finance, 66, pp. 89-101, (2016), Christoffersen, Peter F., Oil volatility risk and expected stock returns, Journal of Banking and Finance, 95, pp. 5-26, (2018), Conrad, Christian, On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets, Journal of Empirical Finance, 29, pp. 26-40, (2014), Demirer, Riza, Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries, Energy Economics, 49, pp. 132-140, (2015), Du, Limin, Extreme risk spillovers between crude oil and stock markets, Energy Economics, 51, pp. 455-465, (2015)
dspace.entity.typePublication
local.indexed.atScopus
person.identifier.scopus-author-id8710630000
person.identifier.scopus-author-id12446092400
person.identifier.scopus-author-id35225680700

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