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Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe

Mohamed Arouri () and Christophe Rault ()

Revue économique, 2010, vol. 61, issue 5, 945-959

Abstract: The aim of this paper is to investigate the existence of long-run relationships between oil prices and stock markets in Gulf Corporation Countries (gcc) using recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (sur) methods. Since gcc countries are major world energy market players, their stock markets are likely to be susceptible to oil price shocks. Using a monthly dataset covering the period 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. Classification JEL : G12, F3, Q43

JEL-codes: F3 G12 Q43 (search for similar items in EconPapers)
Date: 2010
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