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On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries

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Author Info
Mohamed El hedi Arouri ()
Christophe Rault ()

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Abstract

This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods to investigate the existence of a long-run relationship between oil prices and Gulf Corporation Countries (GCC) stock markets. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil price shocks. Using two different (weekly and monthly) datasets covering respectively the periods from 7 June 2005 to 21 October 2008, and from January 1996 to December 2007, our investigation shows that there is evidence for cointegration of oil prices and stock markets in GCC countries, while the SUR results indicate that oil price increases have a positive impact on stock prices, except in Saudi Arabia.

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Publisher Info
Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number CESifo Working Paper No. 2690.

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Date of creation: 2009
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Handle: RePEc:ces:ceswps:_2690

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Related research
Keywords: GCC stock markets; oil prices; panel cointegration analysis;

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Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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    Other versions:
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  16. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September. [Downloadable!] (restricted)
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  17. 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)
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