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Oil Price Shocks and Stock Markets in Oil Importing Countries: Evidence from Egypt, Morocco, and Jordan

Author

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  • Demeh Daradkah
  • Josanco Floreani
  • Stefano Miani

Abstract

This study aims to investigate the dynamic relationship between Oil price Shocks and stock markets returns in Egypt, Morocco, and Jordan as oil-importing countries in the MENA region, over the period (2005-2018). Vector auto regressive regressions (VAR), Granger causality tests, and Impulse Response technique are employed to achieve the objectives of the study. Using weekly data, the results point to a causal relation flowing from oil prices to stock market returns in all the three countries under investigation although with different lags and different patterns of the response according to the impulse response function outcomes. These findings have important implications for academics, domestic and international investor, investment manager and policy makers. JEL Codes - Q41; E44; N15

Suggested Citation

  • Demeh Daradkah & Josanco Floreani & Stefano Miani, 2021. "Oil Price Shocks and Stock Markets in Oil Importing Countries: Evidence from Egypt, Morocco, and Jordan," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 68(2), pages 233-247, June.
    • Handle: RePEc:aic:saebjn:v:68:y:2021:i:2:p:233-247:n:212
    DOI: 10.47743/saeb-2021-0013
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    Keywords

    oil price shocks; stock markets returns; Egypt; Morocco; Jordan;
    All these keywords.

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • N15 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Asia including Middle East

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