Int. J. of Monetary Economics and Finance   »   2012 Vol.5, No.1

 

 

Title: Crude oil price and stock markets in major oil-exporting countries: evidence of decoupling feature

 

Author: Ibrahim A. Onour

 

Address: Department of Business Administration, School of Management Studies, University of Khartoum, Sudan, P.O. Box: 5834 Safat 13059, Kuwait

 

Abstract: This paper investigates common cyclical feature between crude oil market and stock markets in major oil-exporting countries including Saudi Arabia, United Arab Emirates (UAE) and Kuwait. The results of the paper show the evidence of common cyclical association between oil price and each of the stock prices at low levels of oil prices, below $40 per oil barrel, but no evidence of such cyclical association between the two asset prices at the high oil price levels above $72 per barrel. This implies that the capital markets in these countries and oil market respond in different pattern to cycle generating shocks, as high oil prices may raise global investment risk.

 

Keywords: common trends; shared cycles; nonlinear cointegration; crude oil prices; stock markets; oil exporting countries; oil exports; Saudi Arabia; United Arab Emirates; UAE; Kuwait; investment risks.

 

DOI: 10.1504/IJMEF.2012.044464

 

Int. J. of Monetary Economics and Finance, 2012 Vol.5, No.1, pp.1 - 10

 

Submission date: 25 Sep 2010
Date of acceptance: 26 Jan 2011
Available online: 26 Dec 2011

 

 

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