Saman Hatamerad, Hossain Asgharpur, Bahram Adrangi, Jafar Haghighat
{"title":"Stock price index analysis of four OPEC members: a Bayesian approach","authors":"Saman Hatamerad, Hossain Asgharpur, Bahram Adrangi, Jafar Haghighat","doi":"10.1186/s40854-024-00651-1","DOIUrl":null,"url":null,"abstract":"This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address uncertainties arising from different estimation models and variable selection. Jointness is utilized to determine the nature of relationships among variable pairs. The case study spans macroeconomic variables and stock prices from 1996 to 2018. BMA findings reveal a strong positive association between stock price indices and both consumer price index (CPI) and broad money growth in each analyzed OPEC country. Additionally, the study suggests a weak negative correlation between OPEC oil prices and the stock price index. RLR results align with BMA analysis, offering insights valuable for policymakers and international wealth managers.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"133 1","pages":""},"PeriodicalIF":6.9000,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Innovation","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1186/s40854-024-00651-1","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address uncertainties arising from different estimation models and variable selection. Jointness is utilized to determine the nature of relationships among variable pairs. The case study spans macroeconomic variables and stock prices from 1996 to 2018. BMA findings reveal a strong positive association between stock price indices and both consumer price index (CPI) and broad money growth in each analyzed OPEC country. Additionally, the study suggests a weak negative correlation between OPEC oil prices and the stock price index. RLR results align with BMA analysis, offering insights valuable for policymakers and international wealth managers.
期刊介绍：
Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
