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Precedence and Exogeneity of Oil to the Stock Markets
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- Authors
- Issue Date
- 1996
- Citation
- Seoul Journal of Business, Vol.2 No.1, pp. 39-53
- Keywords
- japan and korea market ; oil price ; predictive value
- Abstract
- This study investigates whether changes of oil price would have precedence,
exogeneity and causal prediction to the stock markets. The result
shows that changes of oil price have precedence over the stock returns in the
United States, Japan and Korea markets. And the evidence suggests that
there be exogeneity of oil to the stock markets because the stock returns can
be causally interpreted by the current or past changes of oil price during the
past two decades. Thus changes of oil price would contain any information
exploitable in forecasting the stock markets and have the predictive value of
leading indicators.
- ISSN
- 1226-9816
- Language
- English
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