Crude Oil Prices and the Egyptian Economy Evidence from the Stock Market

Khaled Bataineh
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Khaled Bataineh: Faculty of Business, Yarmouk University, Jordan

International Journal of Energy Economics and Policy, 2024, vol. 14, issue 1, 383-392

Abstract: This paper investigates two important things; the role of crude oil prices in explaining the Egyptian stock market return, and what factors derive from Egyptian crude oil prices. Using 6 log difference time series variables this paper finds that multiple regression is an inappropriate model to test the two goals mentioned above. On the other hand, using Vector Autoregression (VAR Model) is much more profitable in achieving the paper’s goals. Although the VAR model results are more reliable, crude oil price fails to explain the Egyptian stock market return because Egypt is not a big oil exporter. Furthermore, the VAR model shows that the Energy sector index, stock world index (S and P 500 the proxy), stock exchange index, exchange rate, and the global financial crisis are all factors that derive and determine the Egyptian crude oil price.

Keywords: Crude Oil Price; Vector Autoregression (VAR Model); Egyptian Stock Market Return; Oil Exporter; Energy Sector Index (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2024
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