Economics, Econometrics and Finance
8 years ago

Oil price shocks and volatility predict stock market regimes with accuracy.

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SSRN Electronic Journal
Oil Price Shocks and Volatility Do Predict Stock Market Regimes
Stavros Degiannakis, Timotheos Angelidis, George Filis

Paper Summary

Oil price shocks and volatility can predict the state of the US stock market. By breaking down oil price shocks, researchers found they can forecast stock market returns and volatility better than just looking at oil price changes. This means that changes in oil prices can help predict how the stock market will perform, which is important for investors and forecasters.

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