Firm return volatility and economic gains: The role of oil prices

被引：106

作者：

Narayan, Paresh Kumar ^{[1
]}

Sharma, Susan Sunila ^{[1
]}

机构：

[1] Deakin Univ, Sch Accounting Econ & Finance, Ctr Financial Econometr, Melbourne, Vic, Australia

来源：

ECONOMIC MODELLING | 2014年 / 38卷

关键词：

Oil price; Firm return volatility; Time series; NYSE; STOCK RETURNS; RISK; INFLATION; SAMPLE; SHOCKS; MODEL;

D O I：

10.1016/j.econmod.2013.12.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：142 / 151

页数：10

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