 Oil Price and Stock Market Synchronization in Gulf Cooperation Council CountriesRosmy Jean Louis and Faruk Balli Emerging Markets Finance and Trade, 2014, vol. 50, issue 1, 22-51 Abstract: Knowing that the Gulf Cooperation Council (GCC) economies are dichotomous in nature, and growth in the non-oil sector is tributary to the oil sector, we document the extent of synchronization between crude oil prices and stock markets for each of the GCC markets and for the GCC as an economic bloc. We use both the bivariate and multivariate nonparametric synchronicity measures proposed by Mink et al. (2007) to assess that linkage. We find a low to mild (mild to strong) degree of synchronization between oil price and stock market returns (volatilities). In a very few instances, we find very strong (above 80 percent) associations between these variables. These results hold irrespective of whether we assume that stock market participants form adaptive or rational expectations about the price of oil. Dynamic factor results confirm that shocks to volatility are more important than shocks to oil price returns for the GCC stock markets. Keywords: GCC stock markets; oil price; synchronicity measures (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:50:y:2014:i:1:p:22-51 Ordering information: This journal article can be ordered from Access Statistics for this article More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals |
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