Title: Stock returns and oil price fluctuations: short and long-run analysis in the GCC context

Authors: Mohamed El Hedi Arouri, Duc Khuong Nguyen

Addresses: LEO, University of Orleans, Rue de Blois, BP 267-39, 45067 Orleans cedex 2, France; EDHEC Business School, 12 bis, rue de la Victoire, 75009 Paris, France. ' Dept. of Economics, Finance and Law, ISC Paris School of Management, 22, Boulevard du Fort de Vaux, 75017 Paris, France

Abstract: This article investigates the existence of short- and long-term relationships between oil prices and GCC stock markets. Since most of the GCC countries are among the major players in the world energy markets, their stock markets may be subjected to considerable influences of oil price shocks. Concerning the short-term analysis, strong positive linkages between oil price changes and stock markets have been found in Qatar, Saudi Arabia and UAE. More interestingly, our results indicate that when causality exists, it generally runs from oil prices to stock markets. The long-term analysis provides no evidence of long-term link between oil prices and stock markets in the GCC countries, except for Bahrain where the relationship between oil prices and stock market is positive and oil price fluctuations drive changes in the stock market.

Keywords: global energy issues; oil-stock relationships; GCC stock markets; short-term analysis; long-term analysis; stock returns; oil price fluctuations; oil price shocks; Gulf Cooperation Council.

DOI: 10.1504/IJGEI.2010.036952

International Journal of Global Energy Issues, 2010 Vol.33 No.3/4, pp.121 - 138

Received: 17 Feb 2009
Accepted: 10 Feb 2010
Published online: 18 Nov 2010 *

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