Oil prices and stock returns in the MENA countries: A firm-level data analysis
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Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Oil Prices, Real Stock Returns, Firm-Level Analysis, Nonlinear Panel ARDL, Mena Countries
Kaynak
Emerging Markets Finance and Trade
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
