Oil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries
AbstractThe aim of this paper is to investigate the relationship between oil prices and stock markets in Gulf Corporation Council (GCC) countries. Using a weekly dataset covering the period from 7 June 2005 to 25 May 2010, we show strong statistical evidence that the causal relationship is consistently bi-directional for Saudi Arabia. Stock market price changes in the other GCC member countries do not Granger cause oil price changes, whereas oil price shocks Granger cause stock price changes. Therefore, investors in GCC stock markets should look at the changes in oil prices, whereas investors in oil markets should look at changes in the Saudi stock market.
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Bibliographic InfoArticle provided by CEPII research center in its journal International Economics/Economie Internationale.
Volume (Year): (2010)
Issue (Month): 122 ()
GCC stock markets; oil prices;
Other versions of this item:
- Mohamed El Hedi Arouri & Christophe Rault, 2010. "Oil Prices and Stock Markets: What Drives what in the Gulf Corporation Council Countries?," CESifo Working Paper Series 2934, CESifo Group Munich.
- Christophe Rault & ohamed El Hedi AROURI, 2009. "Oil prices and stock markets: what drives what in the Gulf Corporation Council countries?," William Davidson Institute Working Papers Series wp960, William Davidson Institute at the University of Michigan.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- F3 - International Economics - - International Finance
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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