dc.contributor.author | Demirer, Rıza | en_US |
dc.contributor.author | Yüksel, Aydın | en_US |
dc.contributor.author | Yüksel, Aslı | en_US |
dc.date.accessioned | 2020-08-13T07:47:52Z | |
dc.date.available | 2020-08-13T07:47:52Z | |
dc.date.issued | 2020-11 | |
dc.identifier.citation | 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 | en_US |
dc.identifier.issn | 1703-4949 | |
dc.identifier.uri | https://hdl.handle.net/11729/2368 | |
dc.identifier.uri | http://dx.doi.org/10.1016/j.jeca.2020.e00177 | |
dc.description.abstract | 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. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Elsevier B.V. | en_US |
dc.relation.isversionof | 10.1016/j.jeca.2020.e00177 | |
dc.rights | info:eu-repo/semantics/closedAccess | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.subject | Global sector indices | en_US |
dc.subject | Markov switching | en_US |
dc.subject | Oil volatility | en_US |
dc.subject | Predictability | en_US |
dc.title | Oil price uncertainty, global industry returns and active investment strategies | en_US |
dc.type | article | en_US |
dc.description.version | Publisher's Version | en_US |
dc.relation.journal | Journal of Economic Asymmetries | en_US |
dc.contributor.department | Işık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü | en_US |
dc.contributor.department | Işık University, Faculty of Economics and Administrative Sciences, Department of Management | en_US |
dc.contributor.authorID | 0000-0001-9428-0426 | |
dc.identifier.volume | 22 | |
dc.identifier.startpage | 1 | |
dc.identifier.endpage | 7 | |
dc.peerreviewed | Yes | en_US |
dc.publicationstatus | Published | en_US |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.contributor.institutionauthor | Yüksel, Aydın | en_US |