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

Mohamed Arouri and Christophe Rault

No 538, Working Papers from Economic Research Forum

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.

Pages: 22
Date: 2010-01-08, Revised 2010-01-08
New Economics Papers: this item is included in nep-ara, nep-ene and nep-ifn
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries (2009)
Working Paper: On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries (2009)
Working Paper: On the influence of oil prices on stock markets: Evidence from panel analysis in GCC countries (2009)
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