• Out-of-Stock

How do oil prices affect stock returns in GCC markets? An asymmetric cointegration approach [extrait BMI 111]

Author :
€50.00
Tax included
Quantity
Add to wishlist
Out-of-Stock

Version numérique PDF

The aim of this paper is to investigate the existence of long-term relationships between oil price and stock prices in Gulf Corporation Council (GCC) markets. Since most GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil price changes.To account for the fact that stock market prices may respond asymmetrically to oil price shocks, we propose an approach based on asymmetric cointegration. Indeed, recent papers argue that there is an asymmetric relationship between oil price and the economic activity, which suggestsasymmetric linkages between oil prices and stock markets. The results of the empirical analysis show that oil price changes indeed affect stock market prices in an asymmetric fashion and that, unlike in most net-oil importing countries, the relationship between oil prices and stock market prices is positive in GCC countries. However, the elasticity of stock prices to oil price sensitively varies from one GCC country to another.

Auteurs :Arouri Mohamed
Extrait de la revue BMI 111

BMI111-1101606
New

16 other products in the same category:

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • Comparing the Value Relevance of Earnings and Book Value in IFRS and GAAP Standards
  • Credit Risk Evaluation: The Econometric vs the Structural Approach
  • The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds
  • Corporate Governance and Performance of French Listed Companies

Focus On

  • Symmetric vs. Downside Risk Measures in Portfolio Decisions
Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • CEO Compensation and Managerial Performance: An Analysis of US Non-Financial Firms
  • Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield
  • Hedge Fund Returns and Factor Models: A Cross Section Approach

Focus On

  • A New Classifi cation of Exotic Options
This website uses cookies to ensure you get the best experience on our website