Oil Shocks and Stock Return Volatility

dc.citation.doi10.1016/j.qref.2018.01.001
dc.citation.issn1062-9769
dc.citation.jtitleQuarterly Review of Economics and Finance
dc.contributor.authorBachmeier, Lance J.
dc.contributor.authorNadimi, Soheil R.
dc.contributor.authoreidlanceb
dc.contributor.authoreidsoheil
dc.contributor.kstateBachmeier, Lance J.
dc.date.accessioned2018-01-19T14:47:25Z
dc.date.available2018-01-19T14:47:25Z
dc.date.issued2018-11-01
dc.date.published2018
dc.descriptionCitation: Bachmeier, L. J. and Nadimi, S.R.. (2018) Oil Shocks and Stock Return Volatility. Quarterly Review of Economics and Finance. Submitted Manuscript.
dc.description.abstractAsset return volatility is important to the macroeconomy. This paper asks whether oil price volatility can be used as a predictor of stock return volatility. In contrast with previous research, we focus on the out-of-sample predictive power of oil price volatility rather than on in-sample inference. Formal tests of out-of-sample predictive ability find no evidence supporting the use of oil price volatility as a predictor of future stock return volatility. Further analysis using rolling window estimation and structural break tests shows that the coefficients of this relationship are very unstable. The coefficients can be positive, negative, or close to zero depending on the sample that is chosen. We discuss the implications of this finding for monetary policy.
dc.identifier.urihttp://hdl.handle.net/2097/38592
dc.relation.urihttps://doi.org/10.1016/j.qref.2018.01.001
dc.rightsThis Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).
dc.rights.urihttp://www.elsevier.com/about/company-information/policies/sharing
dc.rights.urihttps://rightsstatements.org/vocab/InC/1.0/
dc.subjectOil price
dc.subjectStock return
dc.subjectVolatility
dc.subjectPrediction
dc.titleOil Shocks and Stock Return Volatility
dc.typeArticle (Submitted Manuscript)

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