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

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.