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On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses

  • Mohamed El Hedi Arouri

    ()

    (EconomiX - CNRS : UMR7166 - Université Paris X - Paris Ouest Nanterre La Défense)

  • Julien Fouquau

    ()

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price shocks. To account for the fact that stock markets may respond nonlinearly to oil price shocks, we have examined both linear and nonlinear relationships. Our findings show that there are significant links between the two variables in Qatar, Oman, and UAE. Thus, stock markets in these countries react positively to oil price increases. For Bahrain, Kuwait, and Saudi Arabia we found that oil price changes do not affect stock market returns.

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Paper provided by HAL in its series Post-Print with number hal-00822012.

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Date of creation: May 2009
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Publication status: Published, Economics Bulletin, 2009, Vol. 29, n° 2, pp 795-804
Handle: RePEc:hal:journl:hal-00822012
Note: View the original document on HAL open archive server: http://hal-rbs.archives-ouvertes.fr/hal-00822012
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  12. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
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  16. Lardic, Sandrine & Mignon, Valerie, 2006. "The impact of oil prices on GDP in European countries: An empirical investigation based on asymmetric cointegration," Energy Policy, Elsevier, vol. 34(18), pages 3910-3915, December.
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