On the relationship between world oil prices and GCC stock markets
AbstractWe provide comprehensive evidence on the relationship between oil prices and stock mar-kets for six GCC countries. Unlike previous contributions, a wide range of modern econo-metric techniques are applied in order to: i) capture both short- and long-term interactions between considered markets; ii) deal with the potential asymmetry in such interactions and iii) control for the effects of relevant global financial variables. Empirical results show strong causal linkages in the short-run with the impact direction running usually from oil to stocks, but no long-run links. Stock returns seem also to be more sensitive to negative than to positive oil shocks.
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Date of creation: 07 Mar 2013
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Other versions of this item:
- Mohamed El Hedi Arouri & Jamel Jouini & Nhu Tuyen Le & Duc Khuong Nguyen, 2012. "On the Relationship between World Oil Prices and GCC Stock Markets," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 98-120, January.
- NEP-ALL-2013-03-16 (All new papers)
- NEP-ARA-2013-03-16 (MENA - Middle East & North Africa)
- NEP-ENE-2013-03-16 (Energy Economics)
- NEP-FMK-2013-03-16 (Financial Markets)
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