Testing some determinants of the performance of Arab financial markets

Abstract

The research is based on the assumption that there is a significant and one-way effect of the explanatory and illustrative macro variables of the economy in the main and subsidiary indicators of the performance of the financial market, which includes prices, volumes and trading within a standard model that shows (exchange rate, inflation, GDP, interest rate, oil price) In the performance of Arab financial markets (market value, number of shares traded, turnover ratio) with the relative weight of each index and its components as dependent variables (approved) and for a sample consisting of seven Arab countries (UAE, Bahrain, Tunisia, Saudi Arabia, Qatar, Kuwait, Egypt) for the period (2011-2019). To achieve this, the correlation between the studied variables was measured and the Chi-square test was used to detect the presence of anomalies in the data for the sample countries and the Shapiro-Wilk test was used to detect the normal distribution of the study variables, and the weighted least squares method (WLS) was used. The results revealed that the exchange rate variable had its opposite effect in all the approved study models, while the gross domestic product reflected its positive effect in most models, and the volume indicator is one of the most important pivotal indicators in studying the overall performance of the financial markets as it is based on the highest sub-contents, as well as Regarding the correlations with the rest of the indicators, and in light of the results, the researchers recommended the necessity of great interest on the part of investors to follow exchange rate fluctuations in order to make efficient and effective decisions and to understand the relationship more accurately between price movement and economic variables within the Arab financial markets because exchange rates are one of the investment tools that are discussed as one Options crowding out investments.