The degree of integration between energy and stock markets is critical for the diversification and risk management decisions of global corporations and investors alike. We investigate the integration relation between ten major Asian stock markets and a diversified energy portfolio that comprises...

We examine how oil market variables affect short-term stock market returns in the U.S. and in six other major oil-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns during the 2007 to 2017 period reveals that oil...

COP21 implementation should lead to a decline in the future demand for fossil fuels. One key implication for investors is how to manage this risk. We construct a monthly stock and oil market integration index and demonstrate that oil investors can offset adverse oil price risk by holding...

This paper contributes to the equity premium prediction literature by studying the performance of rarely not researched predictors. To do so, we analyze the ability of state-of-the-art liquidity and uncertainty predictors to beat the historical average when forecasting the monthly U.S. equity...

The paper aims to analyse the drivers of changes in European equity tail risk. For this purpose, the paper uses a panel data model with fixed effects based on five explanatory variables including the VIX, the variance risk premium (VRP), the one-year lagged slope of the riskless term-structure,...