A Note on ‘What Drives Share Prices in the Middle East?’

Authors

  • Panos Priftakis La Trobe University, Australia
  • M. Ishaq Bhatti La Trobe University, Australia

DOI:

https://doi.org/10.32890/ijbf2008.5.2.5

Keywords:

Oil prices, Stock market, Econometrics, Unobserved-components model, Cointegration

Abstract

There are several hypotheses suggesting that some properties of oil prices make it interesting to focus on the predictive ability of oil prices for stock returns. This paper reviews some models recently used in the literature and selects the most suitable one for measuring the relationships and/or linkages of oil prices to the stock markets of the selected five oil producing countries in the Middle East. In particular, the paper uses two methodologies to test for the presence of a cointegrating relationship between the two variables and an unobserved components model to find a relationship between the two variables. The results rejects convincingly that there is no linkage between the prices of oil and the stock market prices in these oil-based economies.

 

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Published

18-08-2008

Issue

Vol. 5 No. 2 (2008): International Journal of Banking and Finance (IJBF) Vol. 5, No.2, 2008

Section

Articles

How to Cite

Priftakis, P., & Bhatti, M. I. (2008). A Note on ‘What Drives Share Prices in the Middle East?’. International Journal of Banking and Finance, 5(2), 113-124. https://doi.org/10.32890/ijbf2008.5.2.5

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Harvested 2026-09-07
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Identifiers DOI 10.32890/ijbf2008.5.2.5 OpenAlex W2993646819