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The impact of oil price uncertainty on GCC stock markets

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  • Alqahtani, Abdullah
  • Klein, Tony
  • Khalid, Ali

Abstract

This paper investigates the dynamics of the co-movement of GCC stock market returns with global oil market uncertainty, using an ARMA-DCC-EGARCH and time varying Student-t copula models. Empirical results demonstrate that oil uncertainty has significant and time varying impacts on the GCC stock returns. The GCC stock returns are found to be negatively affected by oil market uncertainty for almost the entire period under examination. More interestingly, we find that the impact of oil price uncertainty differs across GCC member states and allows for grouping. The results also show that the stock markets of Oman and Bahrain are relatively less sensitive to the oil uncertainty factor, thus offering investors and portfolio managers different investment options and portfolio diversification opportunities across GCC members.

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  • Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719305021
    DOI: 10.1016/j.resourpol.2019.101526
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    More about this item

    Keywords

    Time-varying copulas; Dynamic conditional correlations; Crude oil; Stock index; Uncertainty;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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