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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

    ()

    (EconomiX - CNRS - UP10 - Université Paris 10, Paris Ouest Nanterre La Défense, LEO - Laboratoire d'économie d'Orleans - CNRS - UO - Université d'Orléans)

  • Christophe Rault

    ()

    (LEO - Laboratoire d'économie d'Orleans - CNRS - UO - Université d'Orléans, EDHEC (Ecole des Hautes Etudes Commerciales) - EDHEC (Ecole des Hautes Etudes Commerciales))

Ce travail utilise les techniques récentes de cointegration 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 cointégration entre le prix du pétrole et le cours des actions dans les pays du CCG, 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.

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Date of creation: 01 Aug 2010
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