TY - JOUR
T1 - Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries
AU - Mohanty, Sunil
AU - Nandha, Mohan
AU - Turkistani, Abdullah
AU - Alaitani, Muhammed
PY - 2011
Y1 - 2011
N2 - A number of recent studies have found a link between oil price changes and stock prices. However, these studies mostly concentrate on developed economies and analyze the impact of oil price shocks on stock returns at the aggregate stock market level. We assess the relation between changes in crude oil prices and equity returns in Gulf Cooperation Council (GCC) countries using country-level as well as industry-level stock return data. Our findings show that at the country level, except for Kuwait, stock markets have significant positive exposures to oil price shocks. At the industry level, the responses of industry-specific returns to oil shocks are significantly positive for only 12 out of 20 industries. Our study also provides evidence that oil price changes have asymmetric effects on stock market returns at the country level as well as at the industry level.
AB - A number of recent studies have found a link between oil price changes and stock prices. However, these studies mostly concentrate on developed economies and analyze the impact of oil price shocks on stock returns at the aggregate stock market level. We assess the relation between changes in crude oil prices and equity returns in Gulf Cooperation Council (GCC) countries using country-level as well as industry-level stock return data. Our findings show that at the country level, except for Kuwait, stock markets have significant positive exposures to oil price shocks. At the industry level, the responses of industry-specific returns to oil shocks are significantly positive for only 12 out of 20 industries. Our study also provides evidence that oil price changes have asymmetric effects on stock market returns at the country level as well as at the industry level.
U2 - 10.1016/j.gfj.2011.05.004
DO - 10.1016/j.gfj.2011.05.004
M3 - Article
VL - 22
SP - 42
EP - 55
JO - Global Finance Journal
JF - Global Finance Journal
SN - 1044-0283
IS - 1
ER -