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OIL PRICES AND STOCK MARKETS IN GCC COUNTRIES: EMPIRICAL EVIDENCE FROM PANEL ANALYSIS
Author(s) -
Arouri Mohamed El Hedi,
Rault Christophe
Publication year - 2012
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.443
Subject(s) - cointegration , economics , stock (firearms) , oil price , stock market , monetary economics , seemingly unrelated regressions , empirical evidence , financial economics , panel data , econometrics , mechanical engineering , paleontology , philosophy , epistemology , horse , biology , engineering
In this paper, we examine long‐run links between oil prices and stock markets in Gulf Cooperation Council (GCC) using recent bootstrap panel cointegration techniques and seemingly unrelated regression (SUR) methods. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil price. We show that there is evidence for cointegration between oil prices and stock markets in GCC countries, while the SUR results indicate that oil price increases have a positive impact on stock prices, except in Saudi Arabia. Copyright © 2011 John Wiley & Sons, Ltd.