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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| Format: | bookPart |
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2018
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| Online Access: | 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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