6533b858fe1ef96bd12b5fa9
RESEARCH PRODUCT
Exchange Rates and Stock Prices in the MENA countries: What Role for Oil?
G ChortareasMa EissaAndrea Cipollinisubject
Stock Prices Exchange Rates Oil Prices Capital Market Integration_Exchange RatesOilStock pricedescription
This paper considers the linkage between stock prices and exchange rates in four MENA (Middle East and North Africa) emerging markets. In contrast to the existing evidence that uses a global market index to uncover such a relationship it is found that for the sample countries oil prices emerge as the dominant factor in the above relationship. The paper considers the presence of regime shifts and evidence is found of cointegration only for the period following the 1999 oil price shock. Readjustment towards equilibrium in each stock market occurs via oil price changes. Finally, a number of robustness checks are performed and persistence profiles produced. Wiley Online Library
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2011-01-01 |