- Title
- Can energy prices predict stock returns? An extreme bounds analysis
- Creator
- Kim, Jae H.; Rahman, Md Lutfur; Shamsuddin, Abul
- Relation
- Energy Economics Vol. 81, Issue June 2019, p. 822-834
- Publisher Link
- http://dx.doi.org/10.1016/j.eneco.2019.05.029
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2019
- Description
- We assess the predictive abilities of energy prices for future US stock market returns using Sala-i-Martin's (1997) extreme bounds analysis (EBA). The EBA results reveal that the predictive power of energy prices varies substantially across the regression models with different combinations of conditioning variables. Energy prices are not robust predictors for the stock returns in the whole sample period from June 1987 to April 2015. However, before the 2008 global financial crisis, energy prices exerted a moderate negative effect on future stock returns and their effects have become strongly positive afterwards. In general, the predictive power declines with the increase in forecast horizon and it varies considerably over time.
- Subject
- energy prices; stock return predictability; extreme bounds analysis; stock returns; SDG 10; Sustainable Development Goals
- Identifier
- http://hdl.handle.net/1959.13/1414455
- Identifier
- uon:36747
- Identifier
- ISSN:0140-9883
- Rights
- © 2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.
- Language
- eng
- Full Text
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Goal 10: Reduced Inequalities
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