MORE ON THE IMPACT OF OIL PRICES ON STOCK MARKETS: NEW EVIDENCE FROM GCC COUNTRIES

The aim of this paper is to investigate the existence of long-run relationships between oil prices and stock markets in Gulf Corporation Countries (GCC) using recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil price shocks. Using a monthly dataset covering the period January 1996 to December 2007, our investigation shows that there is evidence for cointegration of oil prices and stock markets in GCC countries, while the sur results indicate that oil price increases have a positive impact on stock prices, except in Saudi Arabia.