Presentation Title

The Predictability Relationship Between TSX Index Returns Compared to Oil Prices and Other Macroeconomic Indicators

Format of Presentation

15-minute lecture to be presented April 1, 2017

Location

IB 1010

Start Date

1-4-2017 10:00 AM

End Date

1-4-2017 10:15 AM

Abstract

This research will try to examine the influence of oil prices, in composition with other factors: GDP, CDN/USD exchange rate, interest rate and the price of gold to the returns of the TSX composite index. The impact of the Asian Financial Crisis (AFC), the Global Financial Crisis (GFC), and the oil price drop in 2014 will be included into my model. In aggregate, I would like to explore to what extent the price of oil, the price of gold, and the TSX are related, and if the fluctuations from the performances of these two commodities could be used to predict volatilities and future possible financial crises, in addition to other macro indicators of significance. The relationships between these variables have a variety of possible real world implications: for example helping investors hedge risk and on a large scale predict future states of market crisis, thus showing an overall relationship between the commodity market and the TSX.

Department

Economics

Finance

Faculty Advisor

Mohammad Mahbobi

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Apr 1st, 10:00 AM Apr 1st, 10:15 AM

The Predictability Relationship Between TSX Index Returns Compared to Oil Prices and Other Macroeconomic Indicators

IB 1010

This research will try to examine the influence of oil prices, in composition with other factors: GDP, CDN/USD exchange rate, interest rate and the price of gold to the returns of the TSX composite index. The impact of the Asian Financial Crisis (AFC), the Global Financial Crisis (GFC), and the oil price drop in 2014 will be included into my model. In aggregate, I would like to explore to what extent the price of oil, the price of gold, and the TSX are related, and if the fluctuations from the performances of these two commodities could be used to predict volatilities and future possible financial crises, in addition to other macro indicators of significance. The relationships between these variables have a variety of possible real world implications: for example helping investors hedge risk and on a large scale predict future states of market crisis, thus showing an overall relationship between the commodity market and the TSX.