EconPapers    
Economics at your fingertips  
 

On the Relationship between World Oil Prices and GCC Stock Markets

Mohamed Arouri (), Jamel Jouini, Nhu Tuyen Le and Duc Khuong Nguyen

Journal of Quantitative Economics, 2012, vol. 10, issue 1, 98-120

Abstract: We provide comprehensive evidence on the relationship between oil prices and stock markets for six GCC countries. Unlike previous contributions, a wide range of modern econometric techniques are applied in order to: i) capture both short- and long-term interactions between considered markets; ii) deal with the potential asymmetry in such interactions, and iii) control for the effects of relevant global financial variables. Empirical results show strong causal linkages in the short-run with the impact direction running usually from oil to stocks, but no long-run links based on standard cointegration analysis. Stock returns seem also to be more sensitive to negative than to positive oil shocks. Using the autoregressive distributed lags model as a robustness check for cointegration results, we find several significant cointegrating relationships between oil and stock prices.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
http://www.jqe.co.in/journals/jqe_v_10_n1_7.pdf (application/pdf)

Related works:
Working Paper: On the relationship between world oil prices and GCC stock markets (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jqe:jqenew:v:10:y:2012:i:1:p:98-120

Ordering information: This journal article can be ordered from
Managing Editor, Journal of Quantitative Economics, Indira Gandhi Institute of Development Research (IGIDR), Gen. A.K. Vaidya Marg, Goregaon (E), Mumbai 400 065 , INDIA
http://www.jqe.co.in/

Access Statistics for this article

Journal of Quantitative Economics is currently edited by A. L. Nagar (Editor-in-Chief), D. M. Nachane (Managing-Editor) and G. Mythili (Joint Managing Editor)

More articles in Journal of Quantitative Economics from The Indian Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by D. M. Nachane () and ().

 
Page updated 2021-08-12
Handle: RePEc:jqe:jqenew:v:10:y:2012:i:1:p:98-120