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Article
Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade
Energy Policy (2010)
  • Mohamed Arouri
  • Duc Khuong Nguyen
Abstract
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.
Keywords
  • Oil and sector returns; Portfolio management; Short-term analysis
Publication Date
2010
Citation Information
Mohamed Arouri and Duc Khuong Nguyen. "Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade" Energy Policy Vol. 38 Iss. 8 (2010)
Available at: http://works.bepress.com/duckhuong_nguyen/14/