Stock price index analysis of four OPEC members:a Bayesian approach  

作　　者：Saman Hatamerad Hossain Asgharpur Bahram Adrangi Jafar Haghighat 

机构地区：[1]Faculty of Economics,and Management,University of Tabriz,Tabriz,Iran [2]Pamplin School of Business,University of Portland,5000 N.Willamette Blvd.,Portland,OR,97203,USA

出　　处：《Financial Innovation》2024年第1期1107-1135,共29页金融创新(英文)

摘　　要：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.

关 键 词：EQUITIES MACROECONOMICS Bayesian model averaging Bayesian estimation Regularized linear regression OPEC countries 

分 类 号：F41[经济管理—产业经济]