Recent Evidence on the Oil Price Shocks on Gulf Cooperation Council Stock Markets |
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Authors: | Victor SH Wong Suzanna El Massah |
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Institution: | 1. Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Australia;2. Faculty of Economics and Political Science, Cairo University, Cairo, Egypt;3. College of Business, Zayed University, Dubai, United Arab Emirates;4. Email: suzanna.elmassah@feps.edu.eg |
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Abstract: | The recent plunge in the price of oil affected many countries, especially major oil producers and exporters, such as the Gulf Cooperation Council (GCC), which accounts for half of the global oil reserves. This paper examines the impact of oil price changes on GCC stock markets, including Bahrain, Kuwait, Oman, Qatar, Kingdom of Saudi Arabia, and United Arab Emirates over a 10-year period, 2005–2015. We examine the direction of influence and influence absorption through Granger causality and impulse response function. The results are important for portfolio management at the international level, and provide insights for government and regulatory authorities in times of oil price change. Additionally, the evidence suggests the need for more economic diversification at the country level in the GCC region to mitigate high volatility in the event of oil shocks. |
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Keywords: | GCC Countries Stock Markets Oil Prices Stock Market Volatility Granger Causality Impulse Response Functions |
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