EconPapers    
Economics at your fingertips  
 

On the relationship between world oil prices and GCC stock markets

Mohamed Arouri (), Jamel Jouini () and Duc Khuong Nguyen
Additional contact information
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

Working Papers from HAL

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.archives-ouvertes.fr/hal-00798037
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00798037/document (application/pdf)

Related works:
Journal Article: On the Relationship between World Oil Prices and GCC Stock Markets (2012) 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:hal:wpaper:hal-00798037

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2021-07-18
Handle: RePEc:hal:wpaper:hal-00798037