On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses - Archive ouverte HAL
Preprints, Working Papers, ... Year : 2009

On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses

Abstract

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.
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Dates and versions

hal-00387103 , version 1 (24-05-2009)

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Mohamed El Hedi Arouri, Julien Fouquau. On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses. 2009. ⟨hal-00387103⟩
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