 Oil price and stock market index in exporting and importing countries: evidence from MENAHussein Mohammad Salameh, Bashar Al-Zu'bi;, Khaled Abdelal Al-Zubi and Ihab Khaled Magableh American Journal of Finance and Accounting, 2012, vol. 2, issue 4, 363-379 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. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:amerfa:v:2:y:2012:i:4:p:363-379 Access Statistics for this article More articles in American Journal of Finance and Accounting from Inderscience Enterprises Ltd |
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