MBA in Finance

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The Impact of the International Commodities Price Movements on the Stock Markets of the GCC Countries
(2017) Chopurian, Nazo Assador
This research performs an empirical investigation on the impact of Energy, Agricultural and Metal commodities on the GCC stock markets. The study employs data from January 2005 to February 2017 with a weekly frequency. Utilizing Granger Causality, VAR Model, GARCH Model, Lucey and Baur (2010) model to test for the existence of safe haven and hedging effects, and Least Square method to test whether the energy commodities have symmetric or asymmetric impact on the stock markets of the GCC countries. The study finds that Agricultural commodities have safe haven and hedging effect on all the GCC stock indices. Whereas, Metal commodities have safe haven effect only on Saudi Arabia, Qatar, Oman, Kuwait and Abu Dhabi's stock markets but have hedging effect on all the GCC stock market. Moreover, Energy commodities do not have hedging effect on all the GCC stock markets and have asymmetric impact on all the GCC stock markets other than Qatar with Decreasing Energy prices having more significant impact on the GCC stock markets than their increase.