182
Views
14
CrossRef citations to date
0
Altmetric
Original Article

Oil Price and Stock Market Synchronization in Gulf Cooperation Council Countries

&

References

  • Abraham A.; F.J. Seyyed; and A. Al-Elg. 2001. "Analysis of Diversification Benefits of Investing In the Emerging Gulf Stock Markets." Managerial Finance 27, nos. 10/11: 47-57.
  • Abu Zarour, B. 2006. "Wild Oil Prices, but Brave Stock Markets! The Case of GCC Stock Markets." Operational Research: An International Journal 6, no. 2: 145-162.
  • Al-Khazali, O.; A. Darrat; and M. Saad. 2006. "Intra-Regional Integration of the GCC Stock Markets: The Role of Market Liberalization." Applied Financial Economics 16, no. 17: 1265-1272.
  • Andersen, T., and T. Bollerslev. 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts." International Economic Review 39, no. 4: 885-905.
  • Arouri, M.; M. Bellalah; and D. Nguyen. 2011. "Further Evidence on the Responses of Stock Prices in GCC Countries to Oil Price Shocks." International Journal of Business 16, no. 1: 89-103.
  • Arouri, M., and J. Fouquau. 2009. "On the Short-Term Influence of Oil Price Changes on Stock Markets in GCC Countries: Linear and Nonlinear Analyses." Economics Bulletin 29, no. 2: 795-804.
  • Arouri, M.; A. Lahiani; and D.K. Nguyen. 2011 "Return and Volatility Transmission Between World Oil Prices and Stock Markets of the GCC Countries." Economic Modelling 28, no. 4: 1815-1825.
  • Arouri, M., and C. Rault. 2010. "Oil Prices and Stock Markets: What Drives What in the Gulf Cooperation Council?" Working Paper no. 2934, CESifo Group, Munich.
  • Balli, F.; R. Jean Louis; and M.A. Osman. 2009. "International Portfolio Inflows to GCC Markets. Are There Any General Patterns?" Review of Middle East Economics and Finance 5, no. 2: 45-65.
  • Balli, F.; R. Jean Louis; and M.A. Osman. 2011. "The Patterns of Cross-Border Portfolio Investments in the GCC Region: Do Institutional Quality and the Number of Expatriates Play a Role?" Journal of Economics and Finance 35, no. 4: 434-455.
  • Basher, S.A. 2010. "Has the Non-Oil Sector Decoupled from Oil Sector? A Case Study of Gulf Cooperation Council Countries." MPRA Paper no. 21059, University Library of Munich (available at http://mpra.ub.uni-muenchen.de/21059/
  • Basher, S.A., and P. Sadorsky. 2006. "Oil Price Risk and Emerging Stock Markets." Global Finance Journal 17, no. 2: 224-251.
  • Baxter, M., and R.G. King. 1999. "Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time-Series." Review of Economics and Statistics 81, no. 4: 575-593.
  • Baxter, M., and M. Kouparitsas. 2005. "Determinants of Business Cycle Co-Movement: A Robust Analysis." Journal of Monetary Economics 52, no. 1: 113-157.
  • Bley, J., and K.H. Chen. 2006. "Gulf Cooperation Council (GCC) Stock Markets: The Dawn of a New Era." Global Finance Journal 17, no. 1: 75-91.
  • Chen, N.-F.; R. Roll; and S.A. Ross. 1986. "Economic Forces and the Stock Market." Journal of Business 59, no. 3: 383-403.
  • Cumby, R.; S. Figlewski; and J. Hasbrouck. 1993. "Forecasting Volatility and Correlations with EGARCH Models." Journal of Derivatives 1, no. 2 (Winter): 51-63.
  • Cuñado, J., and F. Pérez de Gracia. 2005. "Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries." Quarterly Review of Economics and Finance 45, no. 1: 65-83.
  • Darrat, A.F.; K. Elkhal; and S.R. Hakim. 2000. "On the Integration of Emerging Stock Markets in the Middle East." Journal of Economic Development 25, no. 2 (December): 119-129.
  • El-Wassal, K. 2005. "Stock Market Growth: An Analysis of Cointegration and Causality." Economic Issues 10, no. 1: 37-58.
  • Fama, E.F., and K.R. French. 1993. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics 33, no. 1: 3-56.
  • Fayyad, A., and K. Daly. 2011. "The Impact of Oil Price Shocks on Stock Market Returns: Comparing GCC Countries with the UK and USA." Emerging Markets Review 12, no. 1: 61-78.
  • Ferson, W., and C. Harvey. 1995. "Predictability and Time-Varying Risk in World Stock Markets." Research in Finance 13: 25-88.
  • Geweke, J. 1977. "The Dynamic Factor Analysis of Economic Time Series." In Latent Variables in Socio-Economic Models, ed. D.J. Aigner and A.S. Goldberger, pp. 365-383. Amsterdam: North-Holland.
  • Giannone, D.; M. Lenza; and L. Reichlin. 2008. "Explaining the Great Moderation: It Is Not the Shocks." Journal of the European Economic Association 6, no. 2-3: 621-633.
  • Girard, E., and E. Ferreira. 2004. "Long Term Stochastic Trends in MENA Capital Markets." International Journal of Business and Economics Research 3, no. 2: 23-45.
  • Girard, E.; M. Omran; and T. Zaher. 2003. "On Risk and Return in MENA Capital Markets." International Journal of Business 8, no. 3: 285-314.
  • Hamao, Y. 1988. "An Empirical Examination of the Arbitrage Pricing Theory: Using Japanese Data." Japan and the World Economy 1, no. 1: 45-61.
  • Hamilton, J.D. 1983. "Oil and the Macroeconomy Since World War II." Journal of Political Economy 91, no. 2: 228-248.
  • Hamilton, J.D. 1996. "This Is What Happened to the Oil Price-Macroeconomy Relationship." Journal of Monetary Economics 38, no. 2: 215-220.
  • Hamilton, J.D. 2003. "What Is an Oil Shock?" Journal of Econometrics 113, no. 2: 363-398.
  • Hamilton, J.D., and A.M. Herrera. 2004. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy." Journal of Money, Credit and Banking 36, no. 2: 751-782.
  • Hammoudeh, S., and E. Aleisa. 2004. "Dynamic Relationship Among GCC Stock Markets and NYMEX Oil Futures." Contemporary Economic Policy 22, no. 2: 250-269.
  • Hammoudeh, S., and K. Choi. 2006. "Behavior of GCC Stock Markets and Impacts of US Oil and Financial Markets." Research in International Business and Finance 20, no. 1: 22-44.
  • Harvey, C.R. 1995a. "Predictable Risk and Returns in Emerging Markets." Review of Financial Studies 8, no. 3: 773-816.
  • Harvey, C.R. 1995b. "The Risk Exposure of Emerging Equity Markets." World Bank Economic Review 9, no. 1: 19-50.
  • Hodrick, R.J., and E.C. Prescott. 1997. "Postwar U.S. Business Cycles: An Empirical Investigation." Journal of Money, Credit and Banking 29, no. 1: 1-16.
  • Imbs, J. 2006. "The Real Effects of Financial Integration." Journal of International Economics 68, no. 2: 296-324.
  • Jones, C., and G. Kaul. 1996. "Oil and the Stock Markets." Journal of Finance 51, no. 2: 463-491.
  • Kalemli-Ozcan, S.; E. Papaioannou; and J.L. Peydró. 2011. "Financial Regulation, Financial Globalization and the Synchronization of Economic Activity." Working Paper no. 14887, National Bureau of Economic Research, Cambridge, MA.
  • Kaneko, T., and B.-S. Lee. 1995. "Relative Importance of Economic Factors in the U.S. and Japanese Stock Markets." Journal of the Japanese and International Economies 9, no. 3: 290-307.
  • Kilian, L. 2008a. "The Economic Effects of Energy Price Shocks." Journal of Economic Literature 46, no. 4: 871-909.
  • Kilian, L. 2008b. "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?" Review of Economics and Statistics 90, no. 2: 216-240.
  • Kilian, L. 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market." American Economic Review 99, no. 3: 1053-1069.
  • Kilian, L., and C. Park. 2009. "The Impact of Oil Price Shocks on the U.S. Stock Market." International Economic Review 50, no. 4: 1267-1287.
  • King, M.; E. Sentana; and S. Wadhwani. 1994. "Volatility and Links Between National Stock Markets." Econometrica 62, no. 4: 901-933.
  • Maghyereh, A., and A. Al-Kandari. 2007. "Oil Prices and Stock Markets in GCC Countries: New Evidence from Nonlinear Cointegration Analysis." Managerial Finance 33, no. 7: 449-460.
  • Mink, M.; J. Jacobs; and J. de Haan. 2007. "Measuring Synchronicity and Comovement of Business Cycles with an Application to the Euro Area." Working Paper no. 2112, CESifo Munich.
  • Mohanty, S.K.; M. Nandha; A.Q. Turkistani; and M.Y. Alaitani. 2011. "Oil Price Movements and Stock Market Returns: Evidence from Gulf Cooperation Council (GCC) Countries." Global Finance Journal 22, no. 1: 42-55.
  • Morgan, D.P.; B. Rime; and P. Strahan. 2004." Bank Integration and State Business Cycles." Quarterly Journal of Economics 119, no. 4: 1555-1585.
  • Omran, M., and L. Gunduz. 2001. "Stochastic Trends and Stock Prices in Emerging Markets: The Case of Middle East and North Africa Region." Istanbul Stock Exchange Review 5: 3-16.
  • Papapetrou, E. 2001. "Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece." Energy Economics 23, no. 5: 511-532.
  • Pindyck, R.S. 2004. "Volatility in Natural Gas and Oil Markets." The Journal of Energy and Development 30, no. 1: 1-20
  • Ravichandran, K., and K.A. Alkhathlan. 2010. "Impact of Oil Prices on GCC Stock Market." Research in Applied Economics 2, no. 1: 1-12.
  • Ravn, M.O., and H. Uhlig. 2002. "On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations." The Review of Economics and Statistics 84, no. 2: 371-375.
  • Sadorsky, P. 2003. "The Macroeconomic Determinants of Technology Stock Price Volatility." Review of. Financial Economics 12, no. 2: 191-205.
  • Sargent, T.J., and C.A. Sims. 1977. "Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory." In New Methods in Business Research, ed. C.A. Sims, pp. 45-109. Minneapolis: Federal Reserve Bank of Minneapolis.
  • StataCorp. 2011. Stata Time-Series Reference Manual: Release 11. College Station, TX: Stata Press.
  • Stock, J.H., and M. Watson. 1989. "New Indexes of Coincident and Leading Economic Indicators." In NBER Macroeconomics Annual 1989, vol. 4, ed. O.J. Blanchard and S. Fischer, pp. 351-394. Cambridge: MIT Press.
  • Stock, J.H., and M. Watson. 1991. "A Probability Model of the Coincident Economic Indicators." In The Leading Economic Indicators: New Approaches and Forecasting Records, ed. K. Lahiri and G.H. Moore, pp. 63-89. Cambridge: Cambridge University Press.
  • Sturm, M., and N. Siegfried. 2005. "Regional Monetary Integration in the Member States of the Gulf Cooperation Council." Occasional Paper no. 31, European Central Bank, Frankfurt.
  • Suganuma, R. 2000. "Reality Check for Volatility Models. " Working Paper no. 0508, University of California, San Diego.
  • Watson, M.W., and R.F. Engle. 1983. "Alternative Algorithms for the Estimation of Dynamic Factors, MIMIC, and Varying Coefficient Regression Models." Journal of Econometrics 23, no. 3: 385-400.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.