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On the relationship between world oil prices and GCC stock markets

Mohamed Arouri, Jamel Jouini () and Duc Khuong Nguyen
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Jamel Jouini: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique

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Abstract: We provide comprehensive evidence on the relationship between oil prices and stock mar-kets for six GCC countries. Unlike previous contributions, a wide range of modern econo-metric 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. Stock returns seem also to be more sensitive to negative than to positive oil shocks.

Date: 2013-03-07
New Economics Papers: this item is included in nep-ara, nep-ene and nep-fmk
Note: View the original document on HAL open archive server: https://hal.science/hal-00798037
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Journal Article: On the Relationship between World Oil Prices and GCC Stock Markets (2012) Downloads
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