Abstract
Using a vector autoregression (VAR) analysis, this paper investigates the effect of the sharp increase in oil prices on stock market returns for five Gulf Cooperation Council (GCC) countries (Bahrain, Kuwait, Oman, Saudi Arabia, and Abu Dhabi). The empirical investigation is conducted using daily data from 25 May, 2001 to 24 May, 2005. During this period oil price has been doubled the thing that led to great surplus in cash in these markets and positively affected their performance. Our empirical evidence suggests the following: (i) The predictive power of oil prices has been increased after the raise in oil prices, while both Saudi and Omani markets only have the power to predict oil prices. (ii) By analyzing the impulse response function, the response of these markets to shocks in oil prices has increased and became faster after the raise in oil prices. (iii) The Saudi market is more responsive to shocks in oil prices and vice versa.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
