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Title:On the influence of oil prices on stock markets : evidence from panel analysis in GCC countries PDF Logo
Authors:Arouri, Mohamed El Hedi
Rault, Christophe
Issue Date:2009
Series/Report no.:CESifo working paper 2690
Abstract:This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods to investigate the existence of a long-run relationship between oil prices and Gulf Corporation Countries (GCC) stock markets. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil price shocks. Using two different (weekly and monthly) datasets covering respectively the periods from 7 June 2005 to 21 October 2008, and from January 1996 to December 2007, our investigation shows that there is evidence for cointegration of 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.
Subjects:GCC stock markets
oil prices
panel cointegration analysis
JEL:G12
F3
Q43
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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