Salisu, AfeesGupta, Rangan2025-07-032025-07-032025-03Salisu, Afees A., and Rangan Gupta. 2025. Commodity Risk and Forecastability of International Stock Returns: The Role of Oil Returns Skewness. Risks 13: 49. https://doi.org/10.3390/risks13030049.2227-9091 (online)10.3390/risks13030049http://hdl.handle.net/2263/103157DATA AVAILABILITY STATEMENT : Data will be made available upon request.This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a metric for global future risks, as we show statistically through the association with crises of different nature, for stock returns of 10 (8 advanced plus two emerging) countries using long-range monthly data of over a century for each country. Using a distributed lag predictive econometric model, which controls for endogeneity, persistence, and conditional heteroscedasticity, we provide evidence of the strong statistical significance of the predictive impact of the third moment of oil price returns for equity returns for all the countries across various forecast horizons and the length of out-of-sample periods. These findings also hold for the shorter sample periods of 3 other emerging markets: Brazil, China, and Russia. Our findings have important implications for academics, investors, and policymakers.en© 2025 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).Stock returnsExpected skewness of oil returnsForecastingAdvanced and emerging equity marketsArticle