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Crude Oil and the Stock Market: Descriptive Statistics

Our investigations use weekly data (from Tuesday to Tuesday) from January 1991 onwards. Figures 2 and 3 show the level and the return series for the period of time considered here.


Figure 2: WTI: level and return series


Figure 3: DJIA: level and return series

Here is an elementary statistical analysis of weekly price changes of WTI and the DJIA, and two related assets: Brent crude oil and the DAX.

 WTIBrentDJIADAX
first day 1991-01-15 1991-01-15 1991-01-15 1991-01-15
last day 2008-01-02 2008-01-02 2008-01-02 2008-01-02
observations 886 886 886 884
NAs 0 0 0 2
mean 0.26 0.27 0.21 0.25
std error 0.15 0.15 0.07 0.11
var 22.50 24.13 4.51 9.13
std deviation 4.74 4.91 2.12 3.02
skewness -0.25 -0.27 0.12 -0.33
std error 0.18 0.34 0.31 0.25
kurtosis 1.41 3.28 3.56 3.53
std error 0.47 1.42 1.02 0.76
min -22.22 -29.13 -9.10 -16.10
lower quartile -2.74 -2.58 -0.99 -1.45
median 0.51 0.44 0.28 0.40
upper quartile 3.25 3.11 1.41 2.03
max 20.27 26.88 12.69 16.25
week of min 2001-09-25 1991-01-22 2002-07-23 2001-09-11
week of max 1996-03-19 1998-03-24 2002-07-30 2002-10-15

Not surprisingly, the characteristics of WTI and Brent are very similar. The stock indices considered carry less risk than crude oil. (The standard errors of skewness and kurtosis were found using bootstrap replications.)
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