EnglishWe consider the linkage between stock prices and exchange rates in four Middle East emerging markets. In contrast to the existing evidence that uses a global market index to uncover such arelationship we find that for our sample countries oil prices emerge as the dominant factor in the above relationship. We consider the presence of regime shifts and we find evidence 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, we perform a number of robustness checks and produce persistence profiles.
Exchange Rates and Stock Prices in the MENA countries: What Role for Oil? / M., Abdelaziz; G. Chortareas, G.; Cipollini, Andrea. - In: REVIEW OF DEVELOPMENT ECONOMICS. - ISSN 1363-6669. - ELETTRONICO. - 15 (4)(2011), pp. 758-774.
| Data di pubblicazione: | 2011 |
| Titolo: | Exchange Rates and Stock Prices in the MENA countries: What Role for Oil? |
| Autore/i: | M., Abdelaziz; G. Chortareas, G.; Cipollini, Andrea |
| Autore/i UNIMORE: | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1111/j.1467-9361.2011.00641.x |
| Rivista: | |
| Volume: | 15 (4) |
| Pagina iniziale: | 758 |
| Pagina finale: | 774 |
| Codice identificativo ISI: | WOS:000296301500013 |
| Codice identificativo Scopus: | 2-s2.0-80155202716 |
| Citazione: | Exchange Rates and Stock Prices in the MENA countries: What Role for Oil? / M., Abdelaziz; G. Chortareas, G.; Cipollini, Andrea. - In: REVIEW OF DEVELOPMENT ECONOMICS. - ISSN 1363-6669. - ELETTRONICO. - 15 (4)(2011), pp. 758-774. |
| Tipologia | Articolo su rivista |
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