The Predictive Power of Oil and Commodity Prices for Equity Markets
Using a seven-variable Vector Autoregressive (VAR) model and a rolling window approach, this paper investigates causality between oil price changes and the aggregate stock market returns of France, Italy, Saudi Arabia and the United Arab Emirates. We provide strong empirical evidence that oil price...
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| المؤلف الرئيسي: | |
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| مؤلفون آخرون: | , |
| التنسيق: | bookPart |
| منشور في: |
2018
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/18035 https://doi.org/10.1142/9789811210242_0003 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://econpapers.repec.org/paper/pramprapa/116055.htm |
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| _version_ | 1864513452865748992 |
|---|---|
| author | Dagher, Leila |
| author2 | Jamali, Ibrahim Badra, Nasser |
| author2_role | author author |
| author_facet | Dagher, Leila Jamali, Ibrahim Badra, Nasser |
| author_role | author |
| dc.contributor.none.fl_str_mv | Goutte, Stéphane Guesmi, Khaled |
| dc.creator.none.fl_str_mv | Dagher, Leila Jamali, Ibrahim Badra, Nasser |
| dc.date.none.fl_str_mv | 2018-06 2020 2026-04-22T11:32:15Z 2026-04-22T11:32:15Z |
| dc.identifier.none.fl_str_mv | 9789811210259 http://hdl.handle.net/10725/18035 https://doi.org/10.1142/9789811210242_0003 Dagher, L., Jamali, I., & Badra, N. (2020). The Predictive Power of Oil and Commodity Prices for Equity Markets. In Risk Factors and Contagion in Commodity Markets and Stocks Markets (pp. 47-82). http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://econpapers.repec.org/paper/pramprapa/116055.htm |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | World Scientific |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Commodity exchanges Petroleum industry and trade -- Mathematical models Petroleum products -- Prices |
| dc.title.none.fl_str_mv | The Predictive Power of Oil and Commodity Prices for Equity Markets |
| dc.type.none.fl_str_mv | Book / Chapter of a Book info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/bookPart |
| description | Using a seven-variable Vector Autoregressive (VAR) model and a rolling window approach, this paper investigates causality between oil price changes and the aggregate stock market returns of France, Italy, Saudi Arabia and the United Arab Emirates. We provide strong empirical evidence that oil price changes cause aggregate stock returns for the two oil-exporting Arab countries starting in 2014. Since the post-2014 period is one of declining oil prices, our findings may suggest that causality depends on the prevailing oil price regime. Our findings also suggest that copper price changes are, to a lesser extent, useful predictors of the equity returns of Saudi Arabia and the United Arab Emirates. |
| eu_rights_str_mv | openAccess |
| format | bookPart |
| id | LAURepo_567b26f62ef61bc7ab8e97e9b759a1cb |
| identifier_str_mv | 9789811210259 Dagher, L., Jamali, I., & Badra, N. (2020). The Predictive Power of Oil and Commodity Prices for Equity Markets. In Risk Factors and Contagion in Commodity Markets and Stocks Markets (pp. 47-82). |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/18035 |
| publishDate | 2018 |
| publisher.none.fl_str_mv | World Scientific |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | The Predictive Power of Oil and Commodity Prices for Equity MarketsDagher, LeilaJamali, IbrahimBadra, NasserCommodity exchangesPetroleum industry and trade -- Mathematical modelsPetroleum products -- PricesUsing a seven-variable Vector Autoregressive (VAR) model and a rolling window approach, this paper investigates causality between oil price changes and the aggregate stock market returns of France, Italy, Saudi Arabia and the United Arab Emirates. We provide strong empirical evidence that oil price changes cause aggregate stock returns for the two oil-exporting Arab countries starting in 2014. Since the post-2014 period is one of declining oil prices, our findings may suggest that causality depends on the prevailing oil price regime. Our findings also suggest that copper price changes are, to a lesser extent, useful predictors of the equity returns of Saudi Arabia and the United Arab Emirates.1 online resource (xx, 334 pages)Includes bibliographical references.World ScientificGoutte, StéphaneGuesmi, Khaled2026-04-22T11:32:15Z2026-04-22T11:32:15Z20202018-06Book / Chapter of a Bookinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/bookPart9789811210259http://hdl.handle.net/10725/18035https://doi.org/10.1142/9789811210242_0003Dagher, L., Jamali, I., & Badra, N. (2020). The Predictive Power of Oil and Commodity Prices for Equity Markets. In Risk Factors and Contagion in Commodity Markets and Stocks Markets (pp. 47-82).http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttps://econpapers.repec.org/paper/pramprapa/116055.htmeninfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/180352026-04-22T12:03:40Z |
| spellingShingle | The Predictive Power of Oil and Commodity Prices for Equity Markets Dagher, Leila Commodity exchanges Petroleum industry and trade -- Mathematical models Petroleum products -- Prices |
| status_str | publishedVersion |
| title | The Predictive Power of Oil and Commodity Prices for Equity Markets |
| title_full | The Predictive Power of Oil and Commodity Prices for Equity Markets |
| title_fullStr | The Predictive Power of Oil and Commodity Prices for Equity Markets |
| title_full_unstemmed | The Predictive Power of Oil and Commodity Prices for Equity Markets |
| title_short | The Predictive Power of Oil and Commodity Prices for Equity Markets |
| title_sort | The Predictive Power of Oil and Commodity Prices for Equity Markets |
| topic | Commodity exchanges Petroleum industry and trade -- Mathematical models Petroleum products -- Prices |
| url | http://hdl.handle.net/10725/18035 https://doi.org/10.1142/9789811210242_0003 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://econpapers.repec.org/paper/pramprapa/116055.htm |