Firm return volatility and economic gains: the role of oil prices

Paresh Kumar Narayan; Susan Sunila Sharma

doi:10.1016/j.econmod.2013.12.004

Firm return volatility and economic gains: the role of oil prices

Paresh Kumar Narayan, Susan Sunila Sharma

Research output: Contribution to journal › Article › Research › peer-review

105 Citations (Scopus)

Abstract

In this paper we investigate whether the oil price contributes to stock return volatility for 560 firms listed on the NYSE. Using daily data, we find that the oil price is a significant determinant and predictor of firm return variance. We devise trading strategies based on forecasts of firm return variance using the oil prices and historical averages. We find that investors can make substantial gains in returns by using the oil price in forecasting firm return variances.

Original language	English
Pages (from-to)	142-151
Number of pages	10
Journal	Economic Modelling
Volume	38
DOIs	https://doi.org/10.1016/j.econmod.2013.12.004
Publication status	Published - Feb 2014
Externally published	Yes

Keywords

Firm return volatility
NYSE
Oil price
Time series

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10.1016/j.econmod.2013.12.004

Cite this

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abstract = "In this paper we investigate whether the oil price contributes to stock return volatility for 560 firms listed on the NYSE. Using daily data, we find that the oil price is a significant determinant and predictor of firm return variance. We devise trading strategies based on forecasts of firm return variance using the oil prices and historical averages. We find that investors can make substantial gains in returns by using the oil price in forecasting firm return variances.",

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KW - Time series

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Firm return volatility and economic gains: the role of oil prices

Abstract

Keywords

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