OIL PRICES AND STOCK MARKETS IN GCC COUNTRIES: EMPIRICAL EVIDENCE FROM PANEL ANALYSIS

被引：248

作者：

Arouri, Mohamed El Hedi ^{[1
]}

Rault, Christophe ^{[2
]}

机构：

[1] LEO Univ Orleans, CNRS, UMR 6221, F-45067 Orleans 2, France

[2] BEM Bordeaux Management Sch, Bordeaux, France

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2012年 / 17卷 / 03期

关键词：

GCC stock markets; oil prices; panel cointegration analysis; UNIT-ROOT TESTS; ECONOMIC-ACTIVITY; COINTEGRATION; SHOCKS; REGRESSION; INFLATION; VALUES; GDP;

D O I：

10.1002/ijfe.443

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we examine long-run links between oil prices and stock markets in Gulf Cooperation Council (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. We show that there is evidence for cointegration between 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. Copyright (c) 2011 John Wiley & Sons, Ltd.

引用

页码：242 / 253

页数：12

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