Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?

17 Pages Posted: 25 Oct 2011

See all articles by Georgios E. Chortareas

Georgios E. Chortareas

University of Athens - Faculty of Economics; University of Essex - Department of Accounting, Finance & Management; King's College London

Andrea Cipollini

University of Palermo - d/SEAS; Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics; Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN)

Mohamed Abdelaziz Eissa

affiliation not provided to SSRN

Date Written: November 2011

Abstract

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.

Suggested Citation

Chortareas, Georgios and Cipollini, Andrea and Eissa, Mohamed Abdelaziz, Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil? (November 2011). Review of Development Economics, Vol. 15, Issue 4, pp. 758-774, 2011. Available at SSRN: https://ssrn.com/abstract=1948940 or http://dx.doi.org/10.1111/j.1467-9361.2011.00641.x

Georgios Chortareas (Contact Author)

University of Athens - Faculty of Economics ( email )

8 Pesmazoglou street
GR-10559 Athens
Greece
+(30) 210 3689805 (Phone)
+(30) 210 3689810 (Fax)

University of Essex - Department of Accounting, Finance & Management ( email )

Wivenhoe Park
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United Kingdom

King's College London ( email )

Strand
London, England WC2R 2LS
United Kingdom

Andrea Cipollini

University of Palermo - d/SEAS ( email )

Viale delle Scienze, edificio 13
Palermo, 90124
Italy

Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics ( email )

Viale Berengario 51
41100 Modena, Modena 41100
Italy

Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN) ( email )

via Berengario 51
Modena, modena I-41100
Italy

Mohamed Abdelaziz Eissa

affiliation not provided to SSRN

No Address Available

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