Title: Oil price and stock market index in exporting and importing countries: evidence from MENA

Authors: Hussein Mohammad Salameh; Bashar Al-Zu'bi; Khaled Abdelal Al-Zubi; Ihab Khaled Magableh

Addresses: College of Banking and Financial Sciences, University of Banking and Financial Sciences/Arab Academy, Amman, Jordan. ' Jordan Investment Board, Amman 11821, Jordan. ' College of Economics and Business Sciences, Hashemite University, Zarqa, Jordan. ' School of Management and Logistics Sciences, German Jordanian University, Amman, Jordan

Abstract: In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in both exporting and importing countries. Previous studies have focused almost exclusively on oil exporting countries; in this paper we encounter this issue through implementing new panel unit-root tests to examine the long-term relationship between variables and the convergence across these variables. As a further safeguard, Granger Causality and the Johansen maximum likelihood co-integration technique have been employed. Using monthly datasets covering the period from June 2007 to December 2009, we show solid statistical evidence that the causal relationship is consistently bi-directional. Furthermore, we find evidence to indicate that there are long run relationships across all the variables in our study. The findings from our research are important; however, we believe that further research based on our findings is necessary.

Keywords: oil prices; stock market index; panel unit root; MENA; stock markets; exporting countries; importing countries; Middle East; North Africa.

DOI: 10.1504/AJFA.2012.046877

American Journal of Finance and Accounting, 2012 Vol.2 No.4, pp.363 - 379

Published online: 20 Dec 2014 *

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