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ID097433
Title ProperOil prices, stock markets and portfolio investment
Other Title Informationevidence from sector analysis in Europe over the last decade
LanguageENG
AuthorEl Hedi Arouri, Mohamed ;  Nguyen, Duc Khuong
Publication2010.
Summary / Abstract (Note)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.
`In' analytical NoteEnergy Policy Vol. 38, No. 8; Aug 2010: p.4528-4539
Journal SourceEnergy Policy Vol. 38, No. 8; Aug 2010: p.4528-4539
Key WordsOil and Sector Returns ;  Portfolio Management ;  Short - Term Analysis