EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/30732
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorArouri, Mohamed El Hedien_US
dc.contributor.authorRault, Christopheen_US
dc.date.accessioned2010-03-03en_US
dc.date.accessioned2010-05-14T08:26:35Z-
dc.date.available2010-05-14T08:26:35Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/30732-
dc.description.abstractIn the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006), which is based on SUR systems and Wald tests with country-specific bootstrap critical values to study the sensitivity of stock markets to oil prices in GCC (Gulf Corporation Council) countries. 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, we show strong statistical evidence that the causal relationship is consistently bi-directional for Saudi Arabia. Stock market price changes in the other GCC member countries do not Granger cause oil price changes, whereas oil price shocks Granger cause stock price changes. Therefore, investors in GCC stock markets should look at the changes in oil prices, whereas investors in oil markets should look at changes in the Saudi stock market.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2934en_US
dc.subject.jelG12en_US
dc.subject.jelF30en_US
dc.subject.jelQ43en_US
dc.subject.ddc330en_US
dc.subject.keywordGCC stock marketsen_US
dc.subject.keywordoil pricesen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwErdölpreisen_US
dc.subject.stwPanelen_US
dc.subject.stwKointegrationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwArabische Golf-Staatenen_US
dc.titleOil prices and stock markets: What drives what in the gulf corporation council countries?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn620105267en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
620105267.pdf379.18 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.