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Impact of oil price volatility on Gulf Cooperation Council stock markets' return


  • Ibrahim A. Onour


This paper investigates the short and long-term determinants of Gulf Cooperation Council (GCC) stock markets' volatility. Since GCC countries are major suppliers of oil in world energy markets, their stock markets are likely to be susceptible to change in oil prices. Given that change in oil prices influence observable factors in GCC economies, we show in this paper that unobservable speculative factors drive short term stock market returns. The influence of oil price change on GCC stock markets returns is evidenced in the long-term. -super-1 Long term is defined here as the period of time required for the effect of oil price changes to work out its way to influence major macroeconomic indicators that influence profitability of firms traded in GCC stock markets. Copyright 2007 Organization of the Petroleum Exporting Countries.

Suggested Citation

  • Ibrahim A. Onour, 2007. "Impact of oil price volatility on Gulf Cooperation Council stock markets' return," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 31(3), pages 171-189, September.
  • Handle: RePEc:bla:opecrv:v:31:y:2007:i:3:p:171-189

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    Cited by:

    1. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
    2. Ghoilpour Hassan Fereidouni, 2011. "The Effect of Energy Prices on Iranian Industry Stock Returns," Review of Middle East Economics and Finance, De Gruyter, vol. 7(1), pages 32-51, May.
    3. Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013. "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 33-48.
    4. Yen-Hsien Lee & Ting-Huei Liao & Ya-Ling Huang & Tzu-Ling Huang, 2015. "Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 178-189, April.
    5. Tahsin Saadi Sedik & Oral Williams, 2011. "Global and Regional Spillovers to GCC Equity Markets," IMF Working Papers 11/138, International Monetary Fund.
    6. Umut Halaç & Fatma Dilvin Taşkın & Efe Çağlar Çağlı, 2013. "The Turkish Stock Market Integration with Oil Prices: Cointegration Analysis with Unknown Regime Shifts," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(4), pages 499-513, June.

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