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Economic policy uncertainty, oil price shocks and GCC stock markets

Mohamed Arouri (), Christophe Rault () and Frédéric Teulon
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Christophe Rault: LEO, Université d''Orléans (UMR CNRS 7322), and Toulouse Business School, France

Economics Bulletin, 2014, vol. 34, issue 3, 1822-1834

Abstract: We contribute to the literature by studying the impact of economic policy uncertainty (EPU) from major net oil importers (USA, Europe and China) on Gulf Cooperation Council (GCC) stock markets. We use panel data methods to estimate different specifications. We find that (i) an increase in EPU affects negatively stock returns (ii) this effect is persistent and interacts with oil price changes and (iii) an increase EPU has a delayed positive effect on volatility.

Keywords: Policy uncertainty; GCC stock markets; Oil prices. (search for similar items in EconPapers)
JEL-codes: E3 F3 (search for similar items in EconPapers)
Date: 2014-08-20
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