Makale detayı · 2021
Oil Prices and Stock Returns in the MENA Countries: A Firm-level Data Analysis
Emerging Markets Finance and Trade
- Yıl
- 2021
- ISSN
1540-496X- Tür
- article
Veri kaynağı ayrımı
- YÖKSİS YÖKSİS makale kaydı
- OpenAlex OpenAlex zenginleştirmesi (özet, atıf, konular)
Özet
İngilizce (OpenAlex)
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.
Konular
- Market Dynamics and Volatility
- Energy, Environment, Economic Growth
- Natural Resources and Economic Development
Birincil konu Market Dynamics and Volatility