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Stock price index analysis of four OPEC members: a Bayesian approach

Author

Listed:
  • Saman Hatamerad

    (University of Tabriz)

  • Hossain Asgharpur

    (University of Tabriz)

  • Bahram Adrangi

    (University of Portland)

  • Jafar Haghighat

    (University of Tabriz)

Abstract

This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address uncertainties arising from different estimation models and variable selection. Jointness is utilized to determine the nature of relationships among variable pairs. The case study spans macroeconomic variables and stock prices from 1996 to 2018. BMA findings reveal a strong positive association between stock price indices and both consumer price index (CPI) and broad money growth in each analyzed OPEC country. Additionally, the study suggests a weak negative correlation between OPEC oil prices and the stock price index. RLR results align with BMA analysis, offering insights valuable for policymakers and international wealth managers.

Suggested Citation

  • Saman Hatamerad & Hossain Asgharpur & Bahram Adrangi & Jafar Haghighat, 2024. "Stock price index analysis of four OPEC members: a Bayesian approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-29, December.
    • Handle: RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00651-1
    DOI: 10.1186/s40854-024-00651-1
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    More about this item

    Keywords

    Equities; Macroeconomics; Bayesian model averaging; Bayesian estimation; Regularized linear regression; OPEC countries;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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