Oil price uncertainty, global industry returns and active investment strategies
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.e00177Abstract
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.
Source
Journal of Economic AsymmetriesVolume
22Collections
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