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On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses

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Mohamed El Hedi Arouri (LEO)
Julien Fouquau (LEO)

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Abstract

This 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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File URL: http://arxiv.org/abs/0905.3870
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number 0905.3870.

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Date of creation: May 2009
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Handle: RePEc:arx:papers:0905.3870

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  1. Peter Baláž & Andrej Londarev, 2006. "Oil And Its Position In The Process Of Globalization Of The World Economy," Politická ekonomie, University of Economics, Prague, vol. 2006(4), pages 508-528. [Downloadable!] (restricted)
  2. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December. [Downloadable!] (restricted)
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  3. Cologni, Alessandro & Manera, Matteo, 2008. "Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries," Energy Economics, Elsevier, vol. 30(3), pages 856-888, May. [Downloadable!] (restricted)
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  4. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei. [Downloadable!]
  5. Lardic, Sandrine & Mignon, Valérie, 2008. "Oil prices and economic activity: An asymmetric cointegration approach," Energy Economics, Elsevier, vol. 30(3), pages 847-855, May. [Downloadable!] (restricted)
  6. Lardic, Sandrine & Mignon, Valerie, 2006. "The impact of oil prices on GDP in European countries: An empirical investigation based on asymmetric cointegration," Energy Policy, Elsevier, vol. 34(18), pages 3910-3915, December. [Downloadable!] (restricted)
  7. Lutz Kilian, 2008. "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?," The Review of Economics and Statistics, MIT Press, vol. 90(2), pages 216-240, 03. [Downloadable!] (restricted)
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  8. Shawkat Hammoudeh & Eisa Aleisa, 2004. "Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures," Contemporary Economic Policy, Western Economic Association International, vol. 22(2), pages 250-269, 04. [Downloadable!] (restricted)
  9. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-91, June. [Downloadable!] (restricted)
  10. Marc Gronwald, 2008. "Large Oil Shocks and the US Economy: Infrequent Incidents with Large Effects," The Energy Journal, International Association for Energy Economics, vol. 29(1), pages 151-172.
  11. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April. [Downloadable!] (restricted)
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  12. Papapetrou, Evangelia, 2001. "Oil price shocks, stock market, economic activity and employment in Greece," Energy Economics, Elsevier, vol. 23(5), pages 511-532, September. [Downloadable!] (restricted)
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