期刊
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
卷 78, 期 -, 页码 -出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.irfa.2021.101899
关键词
Stock return predictability; Oil returns; Asymmetric oil returns; Economic constraints; Portfolio performance
资金
- National Natural Science Foundation of PR China [71902128, 72071162, 72073109]
- Humanities and Social Science Fund of the Ministry of Education [17YJC790105, 17XJCZH002]
- Sichuan Provincial Philosophy and Social Science Plan-ning Project [SC20TJ004]
- Sichuan Provincial Science and Technology Planning Project [21RKX0637]
- Soft Science Research Project in Chengdu [2020-RK00-00070-ZF]
- Fundamental Research Funds for the Central Universities [2682020ZT98]
Oil return has a more powerful and stable prediction ability for stock market return, with the three-sigma rule constraint yielding higher forecast accuracy. Incorporating oil return can enhance the average forecasting performance of macroeconomic predictors.
This study investigates the predictability of oil return on stock market return using a series of economic constraints. We find that oil return has a more powerful and stable prediction ability than its asymmetric form using an unconstrained approach and three constraint approaches. A new constraint, regarding the three-sigma rule, can obtain a higher forecast accuracy than other methods. Moreover, compared to univariate macro models, incorporation of oil return can increase the average forecasting performance of 14 macroeconomic predictors. Finally, the predictive performance of oil returns varies during different periods linking to the business cycle, geopolitical risk, and financial crisis. The predictability source of oil returns can be explained from the discount rate channel and the sentiment channel.
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