Stock price index analysis of four OPEC members: a Bayesian approach

Saman Hatamerad (), Hossain Asgharpur (), Bahram Adrangi () and Jafar Haghighat ()
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Saman Hatamerad: University of Tabriz
Hossain Asgharpur: University of Tabriz
Bahram Adrangi: University of Portland
Jafar Haghighat: University of Tabriz

Financial Innovation, 2024, vol. 10, issue 1, 1-29

Abstract: Abstract This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address uncertainties arising from different estimation models and variable selection. Jointness is utilized to determine the nature of relationships among variable pairs. The case study spans macroeconomic variables and stock prices from 1996 to 2018. BMA findings reveal a strong positive association between stock price indices and both consumer price index (CPI) and broad money growth in each analyzed OPEC country. Additionally, the study suggests a weak negative correlation between OPEC oil prices and the stock price index. RLR results align with BMA analysis, offering insights valuable for policymakers and international wealth managers.

Keywords: Equities; Macroeconomics; Bayesian model averaging; Bayesian estimation; Regularized linear regression; OPEC countries (search for similar items in EconPapers)
JEL-codes: C11 G10 G15 G19 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1186/s40854-024-00651-1

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