Munich Personal RePEc Archive

Oil prices, US exchange rates, and stock market: evidence from Jordan as a net oil importer

Hammami, Algia and Ghenimi, Ameni and Bouri, Abdelfatteh (2019): Oil prices, US exchange rates, and stock market: evidence from Jordan as a net oil importer.

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Abstract

This paper investigates the long-run and the short-run relationship between oil prices (international oil price), US exchange rates and the Amman Stock Exchange as measured by MSCI stock market index in Jordan. The data used in this paper are monthly time series data from M1 2005 to M12 2015. To meet this ambitious objective, we use VECM method. Our results show that the Jordan stock market prices have a relationship with two macroeconomic variables. Nevertheless, oil prices have significantly long and short-run negative effect on stock prices contrary to the US exchange rate that has a significant negative effect on stock prices only in the short term.

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