Oil price effect on Nordic equity market indices

Detta är en Kandidat-uppsats från Göteborgs universitet/Institutionen för nationalekonomi med statistik

Sammanfattning: This paper empirically investigates the oil price predictability effect documented by Fan and Jahan-Parvar (2012) in the Nordic stock markets at industry-level returns. Using the percentage changes in oil spot prices as a predictor we find that oil price predictability is evident in a relatively small part of the studied industries. The effect was foremost apparent in those industries not directly impacted by oil or impacted with a second order effect. We also examine the contemporaneous effect between oil price changes and equity indices, specifically the Oil and Gas industry across the four Nordic countries are analyzed. The link between the oil price and Oil and Gas industry is apparent in all the Nordic countries. Regarding the rest of the studied industries the result is mixed. We also introduced an interaction term to control for historical oil shocks in the model in order to distinguish between the oil effect under normal price movements and those movements originating from oil shocks. With the introduction of oil shocks in the model the significance of mainly service oriented industries are reduced or removed.

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