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Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe

  • Mohamed El Hedi Arouri
  • Christophe Rault

Ce travail utilise les techniques récentes de coïntégration en panel et la méthode d?estimation sur pour tester l?existence d?une relation de long terme entre le prix du pétrole et le cours des actions dans les pays du Conseil de coopération du Golfe (ccg). Ces pays étant des acteurs majeurs du marché mondial de l?énergie, leurs marchés boursiers devraient être sensibles aux chocs affectant le prix du pétrole. En utilisant une base de données mensuelle couvrant la période allant de janvier 1996 à décembre 2007, notre étude met en évidence, d?une part, l?existence d?une relation de coïntégration entre le prix du pétrole et le cours des actions dans les pays du ccg, et, d?autre part, les estimations sur indiquent que les augmentations du prix du pétrole ont un impact positif sur les rentabilités boursières, sauf en Arabie Saoudite. Abstract The aim of this paper is to investigate the existence of long-run relationships between oil prices and stock markets in Gulf Corporation Countries (gcc) using recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (sur) methods. Since gcc countries are major world energy market players, their stock markets are likely to be susceptible to oil price shocks. Using a monthly dataset covering the period 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. Classification JEL : G12, F3, Q43

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Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 61 (2010)
Issue (Month): 5 ()
Pages: 945-959

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Handle: RePEc:cai:recosp:reco_615_0945
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