Since 2014
Oil Price Based Trading And European Industry Sector Stocks
International Business & Economics Research Journal
View Archive Info| Field | Value | |
| Title |
Oil Price Based Trading And European Industry Sector Stocks
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| Creator |
Soucek, Michael
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| Subject |
finance and capital markets
Oil Prices; Stock Returns; European Industry Sectors; VAR; Cointegration; Trading Strategy; Efficient Market Hypothesis |
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| Description |
This study shows that the relationship between oil price changes and European stock market is significant and vary in relation to individual industry sectors. The oil price changes exhibit significant Granger causality for majority of European industry sector stock returns, but no cointegration could be determined for the price series. The results are proved to be economically exploitable for trading strategies. The trading rule based on the bivariate VAR( ) model for forecasting future stock returns significantly outperforms the buy-and-hold strategy in term of expected return and risk. It yields large Sharpe ratios and significant positive Jensen's alpha for both weekly and monthly data.
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| Publisher |
The Clute Institute
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| Date |
2012-01-23
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/6775
10.19030/iber.v11i2.6775 |
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| Source |
International Business & Economics Research Journal (IBER); Vol 11 No 2 (2012); 205-216
2157-9393 1535-0754 10.19030/iber.v11i2 |
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| Language |
eng
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| Relation |
https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/6775/6850
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