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arXiv : 0905.3870

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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 1, Julien Fouquau 1, 2

(2009)

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.

1 :	Laboratoire d'économie d'Orleans (LEO)
	CNRS : UMR6221 – Université d'Orléans
2 :	Pôle Finance Responsable - Rouen Business School
	Rouen Business School

Domaine

:

Économie et finance quantitative/Econométrie de la finance Économie et finance quantitative/Finance

Mots Clés : GCC stock markets – oil prices – linear and nonlinear analyses

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Contributeur : Mohamed El Hedi Arouri <>

Soumis le : Dimanche 24 Mai 2009, 01:19:34

Dernière modification le : Vendredi 25 Mars 2011, 11:26:07