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Exploring the Stock Price Correspondence to Oil Price Shocks In the Gulf Cooperation Council Countries: Evidence from Linear (Symmetric) Model

Author

Listed:
  • Ahmad Abu Alrub

    (Department of Accounting and Finance, Faculty of Economics and Administrative Sciences, Cyprus International University, TRNC, Lefko a, Cyprus,)

  • Husam Rjoub

    (Department of Accounting and Finance, Faculty of Economics and Administrative Sciences, Cyprus International University, TRNC, Lefko a, Cyprus,)

  • Mehmet Aga

    (Department of Accounting and Finance, Faculty of Economics and Administrative Sciences, Cyprus International University, TRNC, Lefko a, Cyprus,)

  • Murad Bein

    (Department of Accounting and Finance, Faculty of Economics and Administrative Sciences, Cyprus International University, TRNC, Lefko a, Cyprus,)

Abstract

This study investigates the linkage between oil price index and stock price index in six GCC countries in two folds. Firstly, it studies the long-run relationship linking the stock price Index (SPI) and the oil price Index (OPI) for the time span, beginning February 2002 to May 2015. After confirming the dependency of the SPI across cross-sectional units for the six GCC countries three types of panel cointegration tests were used. Pedroni; Kao which is an Engle-Granger two step residual based test, and Fisher which is a combined Johansen test. Secondly, it investigates the linear short-run effect of oil price index shocks on these markets by using bootstrapped resample residuals. The findings reveal a robust long-run relationship amid OPI and SPI of six GCC country members. Furthermore, the linear short-run results indicate significant and positive consequence on Oman, Qatar, and UAE of oil price index shocks. The findings also indicate that Qatar is the most oriented market for the oil price changes within a short time period.

Suggested Citation

  • Ahmad Abu Alrub & Husam Rjoub & Mehmet Aga & Murad Bein, 2018. "Exploring the Stock Price Correspondence to Oil Price Shocks In the Gulf Cooperation Council Countries: Evidence from Linear (Symmetric) Model," International Journal of Economics and Financial Issues, Econjournals, vol. 8(1), pages 250-257.
    • Handle: RePEc:eco:journ1:2018-01-31
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    Citations

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    Cited by:

    1. Muhammad Ali, Khalid M. Iraqi, Abdul Waheed Khan, 2019. "Impact of Oil Prices on Stock Market Performance: Evidence from Top Oil Importing Countries," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 1-14, October.

    More about this item

    Keywords

    Stock price; oil price; panel cointegration; bootstrapped resample residuals and linear short-run model.;
    All these keywords.

    JEL classification:

    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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