Narayan, Paresh Kumar; Sharma, Susan Sunila - In: Economic Modelling 38 (2014) C, pp. 142-151
In this paper we investigate whether the oil price contributes to stock return volatility for 560 firms listed on the NYSE. Using daily data, we find that the oil price is a significant determinant and predictor of firm return variance. We devise trading strategies based on forecasts of firm...