Stock Prices and Inflation: Evidence from Jordan, Saudi Arabia, Kuwait, and Morocco

Adel Al-Sharkas and Marwan Al-Zoubi ()
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Marwan Al-Zoubi: International Monetary Fund

No 653, Working Papers from Economic Research Forum

Abstract: This paper attempts to investigate monthly stock price indexes and good price indexes for selected Mashreq and Maghreb countries: Jordan, Saudi Arabia, Morocco, and Kuwait for 2000-2009 using cointegration methods. Our findings support the long-run relationship between stock prices and goods prices. The long-run Fisher elasticities of stock prices with respect to goods prices are in the range of 1.01 to 1.36 across the four countries under study. With the exception of Kuwait, the Fisher effect coefficient estimates are significantly greater than one. In the case of Jordan, Saudi Arabia, and Morocco the empirical results support the Fisher hypothesis, with estimated coefficients near unity.

Pages: 20
Date: 2011-01-12, Revised 2011-01-12
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