The Influence of Oil and other Macroeconomic Variables on GCC Stock Markets
Abstract
This research paper performs an empirical investigation on the impact of oil and other macroeconomic variables on the stock market returns of the Gulf Cooperation Council countries. The study employs daily data from January 2008 to October 2012, a period during which the world economy suffered from a deep financial distress. Using the least square method, the research concludes that the GCC stock returns are mostly influenced by Saudi and Jordanian stock returns. This proves that the GCC countries are highly integrated with each other as well as with other Arab countries. Using Granger-causality, however, the study establishes that the Saudi Arabia, Kuwait, Qatar, and Oman markets are highly affected by the lagged values of the dependent and the independent variables and finds some evidence of inefficiencies in these markets. Moreover, and most importantly, the study concludes that oil returns affect the Saudi Arabia, Kuwait, Qatar and Bahrain markets in a nonlinear manner.
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Citation
Basmajian, L. K. (2013). The Influence of Oil and other Macroeconomic Variables on GCC Stock Markets (MBA thesis, Haigazian University)