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.
Item Type: | MPRA Paper |
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Original Title: | Oil prices, US exchange rates, and stock market: evidence from Jordan as a net oil importer |
Language: | English |
Keywords: | VECM, Crude Oil Price, US Exchange Rate, Jordan Stock Market |
Subjects: | G - Financial Economics > G0 - General |
Item ID: | 94570 |
Depositing User: | dr Algia Hammami |
Date Deposited: | 18 Jun 2019 12:49 |
Last Modified: | 26 Sep 2019 11:14 |
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Journal of Policy Modelling, 30, 973-991. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/94570 |