Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Determining the Predictability of Stock Market Returns by Analysing Changes in Oil Prices |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 42 |
| Date | 2016 |
| Abstract Text | Over the last 25 years, the relationship between the oil price changes and future stock market returns changed from negative to positive. During the years after the dotcom bubble burst, the relationship was negative, whereas during the financial crises it was positive. For the recent decline in oil prices, the stock market returns seem to be higher after an increase in oil price. Both a simple and an optimized oil strategy have underperformed the market since mid 2003. The predictability of stock market returns based on oil price changes, which would be an indicator for a true market inefficiency according to Driesprong et al. (2008), does no longer exist. |
| Export |
BibTeX
|