The Impact of Oil Revenues Fluctuations on Macroeconomic Indicators and Financial Markets Performance of Arab-Gulf Countries

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1 The Impact of Oil Revenues Fluctuations on Macroeconomic Indicators and Financial Markets Performance of Arab-Gulf Countries / /... /. ( )... ) ( ( ) : بحث مستل من اطروحة دآتوراه جامعة الموصل آلية الادارة والاقتصاد 1

2 . -. Abstract The dependence of most Arab Gulf countries on oil as a basic commodity and as an only source of its revenues for financing their development programs has subjected their economies to unsystematic fluctuations that are being felt in international oil markets, on the macro economies of these countries and on the performance their financial markets. The significance of this research lies in the relations between the fluctuations in oil market and the performance of financial markets coupled with the desired need for indepth theoretical analysis. The research aims at structuring appropriate theoretical paths for the two markets and the repercussion of these fluctuations on the indicators of the performance of financial markets, assuming a positive relation between oil market fluctuation and financial markets. The theoretical framework consists of cyclical fluctuations; crude oil markets and their relations to financial markets. While the empirical aspects analyze the relation between oil market fluctuation and measuring their impact on financial market performance in those countries. So far most research dealing with the relations between the two markets, financial and oil, has been conducted in oil-importing advance Western economies with highly developed financial markets. This situation obviously differs from those economies whose national products rely on one major resource such as Arab Gulf countries whose financial markets are still in their infancy. And in order to examine whether this hypothesis is true or not, a couple of approaches are used in association: the first descriptive one by relying on theoretical studies concerning oil market fluctuations and macro-variables on the one hand, and the focus on macro-variables (including oil market returns) and stock-market performance on the other hand. The second approach depend on these major equations for currencymarket indices (MARKET CAPITALIZATION, VALUE TRADED, LOCAL INDEX).

3 ). ( Conventional Theory ( ) ( ). : - ( ).. : : -. 3

4 : -. : -. : - ( ) ) ( : -. ( ) ( ).. : ( ) ( ).(The Dutch Disease) 4

5 . (Maghyereh, 004, 7-40) (Rasche and Tatom, 1977, -1)..(Jones and Kaul, 199) ( attribution issue ) (Hamilton,1983,8-48) (Romer and Romer )

6 .( Romer and Romer1989, 1-170) ( Dotsey and Reid, ) (var) (% 6-5).(%8 ) 1986 (Martin Agren,006) (BEKK) 005 ( Martin ) (Martin Agren,006,4). (Irving Fisher ) (Cetin, 001, 03-1). ( HMS). 001 ( Hung, Masulis, and Stoll,1996,1-7) S&P ) ( 500. Standard and Poor's Stocks Indexes الذي یتكون من : 1- مو شر &S P الصناعي المرآب من 400 سهم (S&P400) 6

7 (HMS) (S&P 500) ( S&P 500) () Maghyereh ) (Maghyereh,004,37) ( (Maghyereh,004,7).. %5 (80-70) (Hong and Stein,1999,8). ( ) (Gerben, 004, 1-38). (S&P40) الخدمي المرآب من 40 سهم &S P (S&P0) للنقل والمواصلات المرآب من 0 سهم &S P (S&P40) المالي المرآب من 40 سهم &S P (S&P500) المرآب من المو شرات السابقة ویتكون من 500 سهم &S P - مو شر 3- مو شر 4- مو شر 5- مو شر 7

8 (Gerben, 004) (Gerben,004,9). ( ) ( ) %10.. : 76) (%16 ) ( % 47 ) 00 (. 00 ( ) (%45) (%1) 004 (%55.1).(OPEC, 004, 10) (%5).... 8

9 ( )... : ( ) :(Y1) ( ) -1.. :(Y) - :(Y3) -3. : : (X1) -1.. (M1) : (X) - (CPI) : (X3) -3. : (X4) -4. : Y=f ( X1, X, X3, X4) 9

10 ( Β 1...Β K (VIF, D.W) ( R, R, t, F) ). :.. : : -: : (Y) (Y3) (Y1). نتيجة لكون الا سواق المالية لدول الخليج العربي حدیثة الن شا ة وع دم ت وفر البيان ات ال سنویة للفت رة الزمني ة فق د ت م الاعتم اد على البيانات الفصلية من الفصل الا ول من عام 000 إلى الفصل الا ول من عام 006 لغرض توحيد النماذج لكل دولة إض افة إل ى ع دم توفر البيانات الفصلية لبعض المتغيرات المستقلة لذا تم الترآيز على أسعار الصرف وعرض النقد ومعدل التضخم وعواي د أسواق النفط. 10

11 (1) ( R ) -: -1 (Y1) (%95.5) ( R ) (%4.5) (X4) (X3) (X1). (%84.7) (Y3) (Y) ( R ). (%95.14) (% 94.44) (% 8.5) (% 94.9) ( R ). (t) (t) (X3) (0.05). (F) (F) (149.9) (0.05) 11

12 (P-value) (136.9) (38.6). (0.05). ( ) (0.05) (dl) (du) (n = 5) (k = 3). ( ). 10 (VIF). (Gujarati, 003, 404) : - : -: (Y1) ( ) LOGY1 = *X1-0.1*X *X4 (X1) Currency Risk (0.066).. - نتيجة لوجود مشكلة الارتباط الخطي بين المتغيرات المستقلة في جميع النماذج ولا غلب الدول حسب اختبار (VIF) فقد تم حذف المتغير المسبب للمشكلة والذي آان ) X) عرض النقد. أوضحت النتاي ج المقدرة لنموذج القيمة السوقية في المملكة العربية السعودیة قبل حذف المتغير المسبب للمشكلة الشكل الا تي: LOGY1 = *X *X *X *X4 t= (496), ( -0.91), (5.6), ( 0.18), (.4) R =97, F test =83.5,DW=0.97 R =98, 1

13 (-0.1) (X3) (%1.14) (%.) ( ) (100) ( ).. (X4) (0.68) (0.68) (%9). (%75). (%40) (Y) - Y = *X *X *X4 (X1) (X3) : (0.18) (0.034) (X4) (0.91) (0.91). (%80.6) أوضحت النتاي ج المقدرة لنموذج حجم التداول في المملكة العربية السعودیة قبل حذف المتغير المسبب للمشكلة الشكل الا تي: Y = E *X *X *X *X4 t= (-6.9), ( -0.7), (3.65), (3.), ( 0.1) =88.9, F test =49.31,DW=1.19 R =90.7 R 13

14 -: (Y3) - LOGY3 = *X *X *X4 (X1) (-0.157) (X3) (0.61) (-0.075) (X4). (%91.8). (Sadorsky,1999) ( ). -: :. أوضحت النتاي ج المقدرة لنموذج المو شر العام لا سعار الا سهم المحلية في المملكة العربية السعودیة قبل حذف المتغير المسبب للمشكلة الشكل الا تي: LOGY3 = *X *X *X *X4 t= (387), (-1.48), (5.75), (1.00), (.16) R = 98. =97., R, F test =67.7,DW=

15 ( ) ( -: -1 R ) (Y1) (%93.1) (%6.9) (X4) (X3) (X1) (%90.6) (Y3) (Y) ( R ) (%91.5).. ( R ) (%83.13) (%91.5) (%8.5) ( R ). (%79.4) (%88.45) (t) (X4) (t) (0.05) (X3) (X1). 15

16 (F) (F) (58.9).09.06) (0.05). (1.35) (4) (dl) (du) ( 1.3 (n =17) (k = 3) (0.05). ( ) (VIF) -: (Y1) ( ) (VIF). 10. : - - LOGY1 = *LOGX *LOGX *LOGX4 (X1).(494.)....(0.874) (1.97) (%71.7). نتيجة لعدم توفر البيانات عن سوق ابوظبي المالي لكونه أحدث الا سواق المالية في دول الخليج العربي فقد تم الاعتماد على البيانات من الفصل الا ول 00 إلى الفصل الا ول من عام. 006 أوضحت النتاي ج المقدرة لنموذج القيمة السوقية في الا مارات قبل حذف المتغير المسبب للمشكلة الشكل الا تي: LOGY1 = *LOGX *LOGX *LOGX *LOGX4 R t= (0.88), (-0.91), (1.19), (- 0.0), ( 1.41) =91.8, F test =45.9,DW=1.84 R =93.9, 16

17 -: (Y) - LOGY = *X *X *X4 (X1) (X) (1.4). (%60.5) -: (Y3) - Y3 = *X1-0.1*X *X4 (X1) (X3) (X4) (%59.3) (1.0).. (%63.3).(Samer 005) أوضحت النتاي ج المقدرة لنموذج حجم التداول في الا مارات قبل حذف المتغير المسبب للمشكلة الشكل الا تي: LOGY = *X *X *X *X4 t= (56.9), (0.13), (3.14), (1.17), (- 1.18) R =93.1 =94.9, F test =55.4,DW=1.75 R أوضحت النتاي ج المقدرة لنموذج في الا مارات قبل حذف المتغير المسبب للمشكلة الشكل Y3 = *X *X *X *X4 t = (-0.8), (-0.79), (4.93), (-1.79), (-1.59) R =87.08, F test =7.9, DW =0.99 الا تي: R =

18 : : -1 ) (. ) ( ) - ( (Y) (Y1) : (Y3) -. (%70) (%65) (%79). (%50) (%48) (%6) - 18

19 : : -: (Privatization)

20 1- Cetin Ciner (001), Energy Shocks and Financial Markets: Non Liner Linkages, Studies in Non Linear Dynamics and Econometrics,vol 5,Issue 3. - Dotsey, M., and M. Reid.(199) "Oil Shocks, Monetary Policy, and Economic Activity," Federal Reserve Bank of Richmond Economic Review 78/4. 3- Gerben Driesprong and others (004), Stock Markets and Oil Prices, Rotterdam School of Management,USA. 4- Gujarati D.N(003),Basic Econometrics,4 Edition,McGraw-Hill,NewYork. 5- Hamilton, James D. (1983). Oil and the Macro economy Since World War II, Journal of Political Economy, Hong, Harrison G. and Jeremy C. Stein.(1999) A Unified Theory of Underreaction,Momentum Trading and Overreaction in Asset Markets, The Journal of Finance, 54(6). 11- OPEC(004), Annual Statistical Bulletin to years ( ), CD ROM. 1- Rasche, R. H., and J. A. Tatom, (1977), "The effect of the New energy Regime on Economic Capacity, Production and Prices," Economic Review, Hung, R.D.; Masulis, R.W.; Stoll, H.R. [1996], Energy shocks and financial markets, Journal of Futures Markets, Jones, C. M. and G. Kaul,( 199), "Oil and Stock Markets," Journal of Finance, Maghyerch.A(004), Oil Price Shocks and Emerging Stock Markets A Generalized VAR Approach, International Journal of Econometrics and Quantitative Studies,vol Martin Agren (006),Does Oil Price Uncertainty Transmit to Stock Markets Working Paper, Uppsala University, Sweden. 13- Romer, C. D., and D. H. Romer.(1989) "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," in O. Blanchard and S. Fischer, eds., NBEAR Macroeconomics Annual 4 (Cambridge, Mass.: MIT Press, 1989). 14- Sadorsky, P. (1999), Oil price shocks and stock market activity, Energy Economics, Samer A.M(005),Oil Price Shocks and the Stock Market :Evidence from Amman Stock Exchange. Jordan Journal of Business Administration, Vo 1,No. 0

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