We show that the ability of oil price changes to predict stock returns is limited to periods of extreme geopolitical unrest. Four events generate most of the predictability: the 1973 Arab-Israel war, the 1986 OPEC collapse, the 1990/91 Persian gulf war, and the 2003 invasion of Iraq. We also find that a market-timing trading strategy based on oil price changes typically generates insignificant abnormal returns, contradicting previously published results. Our findings serve as an example of how a significant predictor in a time series forecasting regression may not be a useful or profitable market-timing signal.

中文翻译：

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赌战争？石油价格、股票回报和极端地缘政治事件


我们表明，石油价格变化预测股票回报的能力仅限于地缘政治极端动荡时期。有四个事件产生了大部分的可预测性：1973 年的阿以战争、1986 年的欧佩克崩溃、1990/91 年的波斯湾战争和 2003 年入侵伊拉克。我们还发现，基于油价变化的市场择时交易策略通常会产生微不足道的异常回报，这与之前发布的结果相矛盾。我们的研究结果作为一个例子，说明时间序列预测回归中的重要预测变量可能不是有用或有利可图的市场时机信号。