Evaluation of macro factors affecting stock price index: Bayesian averaging approach

The present study represents an attempt to examine the main macro determinants of stock prices in OPEC oil exporting and importing countries in the study period 1996 to 2016 using Bayesian model averaging (BMA). The oil importers in this study are the United States, Britain and Japan, and three countries, Iran, Saudi Arabia and Kuwait, have been selected as oil exporters. The findings of this study are that to predict and evaluate the stock price index for oil-importing countries, the three variables of exchange rate index, consumer price index and economic growth should be given more importance than other variables, while for oil-exporting countries, The three variables of broad money growth, exchange rate and import are the most important variables that should be considered. For oil-importing countries, among the macro variables studied, OPEC oil prices have a completely negative relationship with the stock price index of those countries, but in oil-importing countries, the gold price has a completely inverse relationship with the stock price index.