ABSTRACT

This article analyzes the effect of oil prices on real stock returns in the MENA countries. We use a panel of stock indexes from nine MENA countries: Saudi Arabia, Kuwait, Qatar, Oman, Egypt, Tunisia, Israel, Jordan, and Morocco. We employ extended version of the arbitrage pricing theory by using the linear and nonlinear panel autoregressive distributed lag (ARDL) models, and the data consist of a balanced panel of 339 firms during the period 2005–2015. The results indicate that oil prices asymmetrically affect real stock returns in the short- and the long run, as well as at the industry levels. These results highlight the importance of asymmetric effect between macroeconomic factors and stock returns.

摘要

本文分析了油价对中东和北非国家实际存货收益的影响。我们使用来自9个MENA国家的股票指数面板：沙特阿拉伯，科威特，卡塔尔，阿曼，埃及，突尼斯，以色列，约旦和摩洛哥。我们通过使用线性和非线性面板自回归分布滞后（ARDL）模型，采用套利定价理论的扩展版本，该数据由2005-2015年期间339家公司的平衡面板组成。结果表明，石油价格在短期和长期以及行业水平上均会不对称地影响实际库存收益。这些结果突出了宏观经济因素与股票收益之间不对称效应的重要性。