Driesprong, G.; Jacobsen, B.; Maat, B. - Erasmus Research Institute of Management (ERIM), ERIM … - 2003
We find that changes in oil prices strongly predict future stock market returns in many countries in the world. In our thirty year sample of monthly data for developed stock markets, we find statistically significant predictability in 12 out of the 18 countries and in a world market index. For...