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

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 diferent 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 fndings 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, ofering insights valuable for policymakers and international wealth managers.