On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
AbstractThis paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price shocks. To account for the fact that stock markets may respond nonlinearly to oil price shocks, we have examined both linear and nonlinear relationships. Our findings show that there are significant links between the two variables in Qatar, Oman, and UAE. Thus, stock markets in these countries react positively to oil price increases. For Bahrain, Kuwait, and Saudi Arabia we found that oil price changes do not affect stock market returns.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0905.3870.
Date of creation: May 2009
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Web page: http://arxiv.org/
Other versions of this item:
- Arouri Mohamed el hédi & Fouquau Julien, 2009. "On the short-term influence of oil price changes on stock markets in gcc countries: linear and nonlinear analyses," Economics Bulletin, AccessEcon, vol. 29(2), pages 795-804.
- Mohamed El Hedi Arouri & Julien Fouquau, 2009. "On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses," Post-Print hal-00822012, HAL.
- Mohamed El Hedi Arouri & Julien Fouquau, 2009. "On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses," Working Papers hal-00387103, HAL.
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
- NEP-ARA-2009-09-26 (MENA - Middle East & North Africa)
- NEP-ENE-2009-09-26 (Energy Economics)
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