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On the relationship between world oil prices and GCC stock markets

  • Mohamed El Hedi Arouri

    ()

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

  • Jamel Jouini

    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

  • Duc Khuong Nguyen

    (IPAG Lab - IPAG Lab - Ipag)

We provide comprehensive evidence on the relationship between oil prices and stock mar-kets for six GCC countries. Unlike previous contributions, a wide range of modern econo-metric techniques are applied in order to: i) capture both short- and long-term interactions between considered markets; ii) deal with the potential asymmetry in such interactions and iii) control for the effects of relevant global financial variables. Empirical results show strong causal linkages in the short-run with the impact direction running usually from oil to stocks, but no long-run links. Stock returns seem also to be more sensitive to negative than to positive oil shocks.

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Paper provided by HAL in its series Working Papers with number hal-00798037.

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Date of creation: 07 Mar 2013
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Handle: RePEc:hal:wpaper:hal-00798037
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00798037
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  21. Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong, 2012. "On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness," Energy Economics, Elsevier, vol. 34(2), pages 611-617.
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