The Impact of Oil Price Uncertainty on GCC Stock Markets

24 Pages Posted: 5 Nov 2019

See all articles by Abdullah Alqahtani

Abdullah Alqahtani

University of Washington

Tony Klein

Queen's University Belfast - Queen's Management School

Ali Khalid

affiliation not provided to SSRN

Date Written: October 23, 2019

Abstract

This paper investigates the dynamics of the co-movement of GCC stock market returns with global oil market uncertainty, using an ARMA-DCC-EGARCH and time varying Student-t copula models. Empirical results demonstrate that oil uncertainty has significant and time varying impacts on the GCC stock returns. The GCC stock returns are found to be negatively affected by oil market uncertainty for almost the entire period under examination. More interestingly, we find that the impact of oil price uncertainty differs across GCC member states and allow for grouping. The results also show that the stock markets of Oman and Bahrain are relatively less sensitive to the oil uncertainty factor, thus offering investors and portfolio managers different investment options and portfolio diversification opportunities across GCC members.

Keywords: Time-varying copulas, Dynamic conditional correlations, Crude oil, Stock index, Uncertainty

JEL Classification: C58; F37; G17; Q43

Suggested Citation

Alqahtani, Abdullah and Klein, Tony and Khalid, Ali, The Impact of Oil Price Uncertainty on GCC Stock Markets (October 23, 2019). Resources Policy, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3475346

Abdullah Alqahtani (Contact Author)

University of Washington ( email )

Seattle, WA 98195
United States

Tony Klein

Queen's University Belfast - Queen's Management School ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

HOME PAGE: http://www.tony-klein.info

Ali Khalid

affiliation not provided to SSRN

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