Oil prices as a predictor of stock market returns
研究了44个发达和发展中股票市场的数据，发现油价变化对股票回报的负向预测关系在2008年全球金融危机后基本消失，而工业金属价格变化在危机后成为更显著的预测指标。
Oil price changes have been considered a good (negative) predictor of stock market returns. In this study, we show via predictive regressions, for an extensive dataset of 44 developed and developing stock markets, that this negative relationship is present only up to the global financial crisis and has largely disappeared ever since. We document an evident shift in the predictive behavior of oil price changes after the 2008 global financial crisis, especially in developed stock markets, a finding that is robust to several additional tests we perform. A possible explanation of the change in the oil-stock return relationship post 2008 could be the increased significance of industrial metals (mainly copper and aluminum). We show that after 2008, industrial metals price changes have gained significance as stock market predictors, mainly in recessions, a finding that is partly consistent with the existing literature on stock market predictability.