期刊
ENERGY POLICY
卷 38, 期 8, 页码 4528-4539出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.enpol.2010.04.007
关键词
Oil and sector returns; Portfolio management; Short-term analysis
This article extends the understanding of oil-stock market relationships over the last turbulent decade. Unlike previous empirical investigations, which have largely focused on broad-based market indices (national and/or regional indices), we examine short-term linkages in the aggregate as well as sector by sector levels in Europe using different econometric techniques. Our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector. In the out-of-sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk-return characteristics. (C) 2010 Elsevier Ltd. All rights reserved.
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