TITLE:
Improving the Forecast Accuracy of Oil-Stock Nexus in GCC Countries
AUTHORS:
Onuoha Ikwor Nnachi
KEYWORDS:
Oil Price, Stock Price, Forecast Evaluation, GCC Countries
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.14,
October
25,
2018
ABSTRACT:
This paper renders new
insights into the predictability of GCC stock returns using crude oil prices
using the approach of [1] [2] that accounts for salient
features of the predictor. The results show superior performance of the
oil-based stock model over time-series models (namely, AR, MA, ARMA, and ARFIMA)
for both in-sample and out-of-sample forecasts. The results are robust to
different oil price series (Brent and WTI prices) and forecast horizons (30 and
60 days).