Change search
ReferencesLink to record
Permanent link

Direct link
Co-movement of oil and stock prices in the GCC region: A wavelet analysis
Stockholm University, Faculty of Social Sciences, School of Business.
Show others and affiliations
2012 (English)In: Quarterly Review of Economics and Finance, ISSN 1062-9769, Vol. 52, no 4, 385-394 p.Article in journal (Refereed) Published
Abstract [en]

This paper examines the short term and long term dependencies between stock market returns and OPEC basket oil returns for the six Gulf Cooperation Council (GCC) countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) and two non-oil producing countries in the region (Egypt and Jordan), over the period 2002–2011. We utilize the wavelet coherency methodology in our empirical analyses. The empirical evidence indicates lack of market dependencies in the short term in these countries, indicating that oil and stock returns are not strongly linked in this interval. However, we show that oil returns and the stock markets returns co-move over the long term. The results also suggest that the long term dependencies are much stronger for OPEC oil returns and Jordan stock market returns relative to OPEC oil returns and Egypt stock market returns, implying a variation in the dependencies between oil prices and stock markets across countries. We further note an increasing strength in the market dependencies after 2007, signifying enhanced diversification benefit for investors in the short term relative to the long term.

Place, publisher, year, edition, pages
2012. Vol. 52, no 4, 385-394 p.
Keyword [en]
Stock markets, Oil Prices, GCC
National Category
Business Administration
Research subject
Business Administration
URN: urn:nbn:se:su:diva-88559DOI: 10.1016/j.qref.2012.07.005OAI: diva2:612069
Available from: 2013-03-19 Created: 2013-03-19 Last updated: 2013-04-22Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Graham, Michael
By organisation
School of Business
In the same journal
Quarterly Review of Economics and Finance
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 150 hits
ReferencesLink to record
Permanent link

Direct link