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Impact of Oil Price Shocks on MENA Countries Stock Markets: Event Study Methodology

Author

Listed:
  • Benbachir Saad
  • Chraibi Assya

    (Department of Management science, Faculty of Legal, Economic and Social Sciences Agdal, Mohammed V University, P.O Box 721, Nations Unies Avenue, Agdal, Rabat, Morocco)

  • Harit Satt

    (Department of Accounting and Finance, School of Business and Administration, Al Akhawayn University, P.O Box 104, Hassan II Avenue, 53000, Ifrane, Morocco)

Abstract

The purpose of this paper is to examine the linkage between a sample of six oil-importing and oil-exporting MENA countries and oil price shocks over the period 2002–2020. The event study methodology is used to examine the behavior of stock prices around an event to measure its value under the efficient market theory. The findings suggest that the dataset used and the results are robust proven by overall statistically significant results for the eight events considered. The 2008 global financial crisis had the largest impact on stock markets on the event day. The nature and duration of response are also found to vary across different events and countries. Thus the practical implications of this paper are to suggest that investors should learn to better assess oil shocks by taking into account differences in country specific policies, government effectiveness and monetary policy.

Suggested Citation

  • Benbachir Saad & Chraibi Assya & Harit Satt, 2022. "Impact of Oil Price Shocks on MENA Countries Stock Markets: Event Study Methodology," Review of Middle East Economics and Finance, De Gruyter, vol. 18(1), pages 1-27, April.
    • Handle: RePEc:bpj:rmeecf:v:18:y:2022:i:1:p:1-27:n:1
    DOI: 10.1515/rmeef-2020-0045
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