Oil prices and stock returns in the MENA countries: A firm-level data analysis
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This article analyzes the effect of oil prices on real stock returns in the MENA countries. We use a panel of stock indexes from nine MENA countries: Saudi Arabia, Kuwait, Qatar, Oman, Egypt, Tunisia, Israel, Jordan, and Morocco. We employ extended version of the arbitrage pricing theory by using the linear and nonlinear panel autoregressive distributed lag (ARDL) models, and the data consist of a balanced panel of 339 firms during the period 2005-2015. The results indicate that oil prices asymmetrically affect real stock returns in the short- and the long run, as well as at the industry levels. These results highlight the importance of asymmetric effect between macroeconomic factors and stock returns.