Crude Oil Prices and Stock Markets in Major Oil Exporting Countries: Evidence on Decoupling Feature
AbstractThis paper investigates common cyclical features between crude oil market and stock markets in major oil exporting countries including Saudi Arabia, UAE, and Kuwait. The results of the paper indicate, at low oil prices (below $40 per oil barrel) Saudi and Abu-Dhabi markets share common cyclical feature with oil market, but they digress from the oil market as oil prices rose above $40 per barrel. The decoupling feature indicate the capital markets and oil market respond in different pattern to cycle generating shocks, suggesting as higher oil prices may raise global investment risk, stock markets in these countries deflect from their key fundamental driver.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 23334.
Date of creation: 10 May 2010
Date of revision:
Common trends; Shared cycles; nonlinear cointegration;
Other versions of this item:
- Ibrahim A. Onour, 2012. "Crude oil price and stock markets in major oil-exporting countries: evidence of decoupling feature," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(1), pages 1-10.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- F30 - International Economics - - International Finance - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-26 (All new papers)
- NEP-ARA-2010-06-26 (MENA - Middle East & North Africa)
- NEP-ENE-2010-06-26 (Energy Economics)
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