Oil prices and financial markets activity : empirical evidence form some middle East & North Africa countries (MENA)‎ Applied Study in Financial Markets from some Middle East & North Africa Countries (MENA)‎

Other Title(s)

الأسواق المالية في منطقة الشرق الأوسط و شمال إفريقيا و تأثير أسعار النفط عليها

Dissertant

al-Nahlah, Marwan

Thesis advisor

al-Zubi, Khalid Abd al-Al

Comitee Members

Aumt, Ghassan

University

Arab Academy for Financial and Banking Sciences

Faculty

The Faculty of Banking and Financial Sciences

Department

Department of Financial Management

University Country

Jordan

Degree

Ph.D.

Degree Date

2008

English Abstract

In recent years, many literatures talked about the relationship between oil prices and financial markets in developed countries.

Based on that, the Researcher have chosen this subject to study aiming to find out and explain if there is a relationship between international oil prices and the prices of the listed securities in the financial markets of Middle East and North Africa. The Researcher targeted the countries of this geographical area based on specific characteristics of these countries as they are oil importers ; in the meantime they have sharing borders with big oil exporting countries.

The Researcher believes that if there is any kind of relationship between oil prices and prices of securities listed in those countries, this relationship would be structured based on a time series governing this relationship either if it is positive or negative relationship.

In addition to that, there should be channels to establish this relation if there is any. The Researcher used a viable methodology previously used by well known literatures.

This methodology has approved its efficiency in showing and explaining reciprocal relationship between financial markets and oil prices. Applying this methodology done based in two main phases.

Phase one includes analyzing and studying the structural characteristics of each market ; covering the returns of each market whether these returns have a proper normality or not.

In addition to that, this level of efficiency in each market using Q-Statistics Technique also, the Researcher apply Augmented Dickey-Fuller (1979) and Phillips-Peron (1988) Statistical Tests whether the time series of the market returns are stationary or not.

In the second phase, based on the analysis of correlation structure between the financial markets and the international oil markets, using these statistical techniques to understand the reciprocal effects between them on the long and short term.

In the beginning, the cross correlation tests have been applied to indicate the shape of the relationship among all of these markets.

Secondly, testing the correlation among different time series of the oil returns within a time lag of five trading days with a time series of returns for each market using simple regression technique.

Finally, it has VAR method used to analyze the structural correlation between the return oil markets and the financial markets which includes in the sample.

The findings of this research are justifiable, a relation to structural correlation among markets.

All correlation testing instruments that have been in the research indicated the existence of one-way relationship from international oil prices towards the stock prices which that any changes in all market will affect stock markets while any changes in stock market will not affect all markets.

Main Subjects

Financial and Accounting Sciences

Topics

• Prices
• Financial markets
• Petroleum products
• North Africa
• Middle East
• Economic aspects

No. of Pages

93

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-306022