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

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  • Mohamed El Hédi Arouri
  • Christophe Rault

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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  • Mohamed El Hédi Arouri & Christophe Rault, 2010. "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Revue économique, Presses de Sciences-Po, vol. 61(5), pages 945-959.
  • Handle: RePEc:cai:recosp:reco_615_0945
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    1. Marga PEETERS, 2011. "The Changing Pattern in International Trade and Capital Flows of the Gulf Cooperation Council Countries in Comparison with other Oil-Exporting Countries," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(7), pages 1-29, December.
    2. LAJILI, Oualid, 2013. "Transmission de la volatilité entre le marché du pétrole et les marchés financiers des pays producteurs [Volatility transmission among the oil market and the financial markets of oil-producing coun," MPRA Paper 86624, University Library of Munich, Germany.

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    More about this item

    JEL classification:

    • 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

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