Relationship Between Stock Price Indices of Abu Dhabi, Jordan, and USA - Evidence from the Panel Threshold Regression Model

• 발행기관: 한국유통과학회
• 저자명: Liang-Chun Ho
• 간행물 정보: 『산경연구논집(JIDB)』Volume.4 No.2, 13~19쪽, 전체 7쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2013.12.30

영문 초록

Purpose The paper tested the – relationship between the stock markets of the Middle East and the USA with the oil price and US dollar index as threshold variables. Research design, data, and methodology – The stock price indices of the USA, the Middle East (Abu Dhabi, Jordan), WTI spot crude oil price, and US dollar index were daily returns in the research period from May 21, 2001 to August 9, 2012. Following Hansen (1999), the panel threshold regression model was used. Results – With the US dollar index as the threshold variable, a negative relationship existed between the stock price indices of Jordan and the USA but no significant result was found between the stock price indices of Abu Dhabi and the USA. Conclusions – The USA is an economic power today:even if it has a closer relationship with the US stock market, the dynamic US economy can learn about subsequent developments and plan in advance. Conversely, if it has an estranged relationship with the US stock market, thinking in a different direction and different investment strategies will achieve good results.

목차

1. Introduction

2. Data

3. Method

4. Empirical Results

5. Conclusions

키워드

Abu Dhabi Jordan DJIA NASDAQ RUSSELL2000 PHLX