On The Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries
AbstractThis 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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Bibliographic InfoPaper provided by Economic Research Forum in its series Working Papers with number 538.
Length: 22 pages
Date of creation: Aug 2010
Date of revision: Aug 2010
Publication status: Published by The Economic Research Forum (ERF)
Other versions of this item:
- Mohamed El hedi Arouri & Christophe Rault, 2009. "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," CESifo Working Paper Series 2690, CESifo Group Munich.
- Christophe Rault & Mohamed El Hedi AROURI, 2009. "On the influence of oil prices on stock markets: Evidence from panel analysis in GCC countries," William Davidson Institute Working Papers Series wp961, 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-09-11 (All new papers)
- NEP-ARA-2010-09-11 (MENA - Middle East & North Africa)
- NEP-ENE-2010-09-11 (Energy Economics)
- NEP-IFN-2010-09-11 (International Finance)
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