Oil price uncertainty, global industry returns and active investment strategies
Yükleniyor...
Dosyalar
Tarih
2020-11
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier B.V.
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This 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.
Açıklama
Anahtar Kelimeler
Global sector indices, Markov switching, Oil volatility, Predictability
Kaynak
Journal of Economic Asymmetries
WoS Q Değeri
Scopus Q Değeri
Q1
Cilt
22
Sayı
Künye
Demirer, R., Yüksel, A. & Yüksel, A. (2020). Oil price uncertainty, global industry returns and active investment strategies. Journal of Economic Asymmetries, 22, 1-7. doi:10.1016/j.jeca.2020.e00177
