Oil prices and stock returns in the MENA countries: A firm-level data analysis

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dc.contributor.authorÇifter, Atilla
dc.contributor.authorAkay, Gökhan H.
dc.contributor.authorDoğan, F. İrem
dc.date.accessioned2021-05-15T11:33:32Z
dc.date.available2021-05-15T11:33:32Z
dc.date.issued2020
dc.departmentİşletme Fakültesi, Uluslararası Lojistik Yönetimi Bölümüen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1080/1540496X.2020.1809374
dc.identifier.issn1540-496X
dc.identifier.issn1558-0938
dc.identifier.scopus2-s2.0-85089972888
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1080/1540496X.2020.1809374
dc.identifier.urihttps://hdl.handle.net/20.500.12939/180
dc.identifier.wosWOS:000564324200001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇifter, Atilla
dc.institutionauthorDoğan, F. İrem
dc.language.isoen
dc.publisherRoutledge Journals, Taylor & Francis Ltden_US
dc.relation.ispartofEmerging Markets Finance and Trade
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectOil Pricesen_US
dc.subjectReal Stock Returnsen_US
dc.subjectFirm-Level Analysisen_US
dc.subjectNonlinear Panel ARDLen_US
dc.subjectMena Countriesen_US
dc.titleOil prices and stock returns in the MENA countries: A firm-level data analysis
dc.typeArticle

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