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On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries

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  • Mohamed AROURI
  • Christophe RAULT

Abstract

This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods to investigate the existence of a long-run relationship between oil prices and Gulf Corporation Countries (GCC) stock markets. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil price shocks. Using two different (weekly and monthly) datasets covering respectively the periods from 7 June 2005 to 21 October 2008, and from 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.
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Suggested Citation

  • Mohamed AROURI & Christophe RAULT, 2009. "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," LEO Working Papers / DR LEO 1299, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • Handle: RePEc:leo:wpaper:1299
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    Cited by:

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    2. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(9), pages 1910-1920.
    3. Michael Funke & Marc Gronwald, 2009. "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," Quantitative Macroeconomics Working Papers 20906, Hamburg University, Department of Economics.
    4. Durga Prasad Samontaray & Sultan Nugali & Bokkasam Sasidhar, 2014. "A Study of the Effect of Macroeconomic Variables on Stock Market: Saudi Perspective," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 120-127, October.
    5. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 305-318.
    6. Stavros Degiannakis & George Filis & Renatas Kizys, 2013. "Oil price shocks and stock market volatility: evidence from European data," Working Papers 161, Bank of Greece.
    7. Chibueze E. Onyeke & Ifeoma Nwakoby & Josaphat U. J. Onwumere & Ifeoma Ihegboro & Chidiebere Nnamani, 2020. "Impact of Oil Price Shocks on Sectoral Returns in Nigeria Stock Market," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 208-215.
    8. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "The impact of oil price shocks on the stock market return and volatility relationship," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 41-54.
    9. Atanu Ghoshray and Tatiana Trifonova, 2014. "Dynamic Adjustment of Crude Oil Price Spreads," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    10. Khalid M. Kisswani & Mohammad I. Elian, 2017. "Do Oil Prices Affect Kuwait Sectoral Stock Prices? Non-Linear Cointegration Evidence," Working Papers 1141, Economic Research Forum, revised 09 2003.

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    More about this item

    Keywords

    Influence; Oil; Prices; Stock; Markets; Evidence; Panel; Analysis; GCC; Countries;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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