The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance
Alqahtani Abdullah () and
Additional contact information
Alqahtani Abdullah: University of Washington, Seattle, WA, USA
Taillard Michael: Central Michigan University, MSA, Mount Pleasant, MI, USA
Asian Journal of Law and Economics, 2019, vol. 10, issue 2, 13
This study examines the impact of the United States’ Economy Policy Uncertainty (US EPU) shocks on the Gulf Cooperation Council (GCC) countries’ stock market returns which are heavily related through global oil markets. Using monthly data spanning from 31/01/2010 to 31/08/2018, we employ a Non-Structural Vector Autoregression (VAR) and Vector Granger Causality Tests (VGCT) in order to ascertain the magnitude of transmitted shocks and to primarily evaluate if US EPU affects stock market returns in any of the GCC countries. Our OLS and VAR results suggest that US EPU has little impact on the GCC markets with the exception of Bahrain. The Vector Granger Causality Test confirms that changes in US EPU influence returns on Qatar’s stock market. These results will help GCC nations to stabilize global energy markets and prevent economic ripples to policy shocks.
Keywords: EPU; GCC; Granger Causality Test; Vector Autoregression (VAR) (search for similar items in EconPapers)
JEL-codes: D81 F21 F38 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/ajle.2019.10.issu ... -0001.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:ajlecn:v:10:y:2019:i:2:p:13:n:1
Ordering information: This journal article can be ordered from
Access Statistics for this article
Asian Journal of Law and Economics is currently edited by Noriyuki Yanagawa
More articles in Asian Journal of Law and Economics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().