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Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ?
[Could we use the Euribor as risk-free rate return in Arabic region?]

Author

Listed:
  • BENDOB, Ali
  • Benahmed-Daho, Rachida

Abstract

The analysts and evaluators in the financial market needs to risk free rate return (RFRR) to take the financing and investment decisions. This paper aims to study and analyze the causal relationship between Euribor rate and stock prices in the Arab stock exchanges, at level of nine Arab stock markets namely: Abu Dhabi, Bahrein, Morocco, Dubai, Egypt, Kuwait,Muscat, Qatar and Saudia during 2007 -2013. The results showed a strong inverse relationship between the Euribor rate and stock prices in the Arab stock exchanges, and that the Euribor rate can be used as an indicator for the pricing in Arab Stock markets.

Suggested Citation

  • BENDOB, Ali & Benahmed-Daho, Rachida, 2017. "Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ? [Could we use the Euribor as risk-free rate return in Arabic region?]," MPRA Paper 81405, University Library of Munich, Germany, revised Jun 2017.
    • Handle: RePEc:pra:mprapa:81405
    as

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    File URL: https://mpra.ub.uni-muenchen.de/81405/1/MPRA_paper_81405.pdf
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    References listed on IDEAS

    as
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    5. Cifter Atilla & Ozun Alper, 2008. "Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 68-79, April.
    6. repec:pri:cepsud:91malkiel is not listed on IDEAS
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    More about this item

    Keywords

    EURIBOR; risk free rate return; Arab Stock market ; interest rate .;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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