Oil price uncertainty, global industry returns and active investment strategies

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dc.authorid0000-0002-1840-8085
dc.authorid0000-0001-9428-0426
dc.authorid0000-0002-8716-9049
dc.contributor.authorDemirer, Rızaen_US
dc.contributor.authorYüksel, Aydınen_US
dc.contributor.authorYüksel, Aslıen_US
dc.date.accessioned2020-08-13T07:47:52Z
dc.date.available2020-08-13T07:47:52Z
dc.date.issued2020-11
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
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.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationDemirer, 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.e00177en_US
dc.identifier.doi10.1016/j.jeca.2020.e00177
dc.identifier.endpage7
dc.identifier.issn1703-4949
dc.identifier.scopus2-s2.0-85089102236
dc.identifier.scopusqualityQ1
dc.identifier.startpage1
dc.identifier.urihttps://hdl.handle.net/11729/2368
dc.identifier.urihttp://dx.doi.org/10.1016/j.jeca.2020.e00177
dc.identifier.volume22
dc.indekslendigikaynakScopusen_US
dc.institutionauthorYüksel, Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherElsevier B.V.en_US
dc.relation.ispartofJournal of Economic Asymmetriesen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectGlobal sector indicesen_US
dc.subjectMarkov switchingen_US
dc.subjectOil volatilityen_US
dc.subjectPredictabilityen_US
dc.titleOil price uncertainty, global industry returns and active investment strategiesen_US
dc.typeArticleen_US
dspace.entity.typePublication

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