Oil Price Shocks and Stock Market Returns in Oil-Exporting Countries: The Case of GCC Countries

Mohamed El Hédi AROURI, Amine Lahiani, Makram BELLALAH

Abstract


Using linear and nonlinear models, this paper investigates the responses of stock markets in GCC countries to oil price shocks. Our findings show that stock market returns significantly react to oil price changes in Qatar, Oman, Saudi Arabia and UAE. In addition, we establish that the relationships between oil prices and stock markets in these countries are nonlinear and switching according to the oil price values. However, for Bahrain and Kuwait we found that oil price changes do not affect stock market returns.


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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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