On the relationship between world oil prices and GCC stock markets

Mohamed El Hedi Arouri (1) , Jamel Jouini (2) , Duc Khuong Nguyen (3)

1 EconomiX - EconomiX
2 GATE - Groupe d'analyse et de théorie économique
3 IPAG Lab - IPAG Lab

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.

Domaines: Finance [q-fin.GN]

Mohamed El Hedi Arouri, Jamel Jouini, Duc Khuong Nguyen. On the relationship between world oil prices and GCC stock markets. 2013. ⟨hal-00798037⟩