The Impact of Oil Price Shocks on Amman Stock Exchange Real Return
Ali Mustafa Al-Qudah

Abstract
The present study examined the impact of oil price shocks and short-term interest rate on Amman stock exchange real return. The study used monthly data for the period 2000:01 to 2014:06 and used unit root test, Cointegration test, VAR, impulse response function and variance decomposition function to examine the study hypotheses. In addition, Granger causality test is used to determine the direction of the relationship between variables. The impulse response and variance decompositions results show that oil price shocks and short-term interest rate have a significant and negative effect on Amman stock exchange real return. The results of Granger causality tests show that there is a unidirectional causality between oil price shocks and short-term interest rate and Amman stock exchange real return running from oil price shocks and short-term interest rate to Amman stock exchange real return.

Full Text: PDF