Vol 7, No 4 (2019)
GCC Equity Indices and Oil Price Changes: An Analysis of their Relationship
Robert Boldin, Mukesh Chaudhry, Tore Okland
Abstract
This research focuses on the long-term relationship between oil price changes and GCC country equity market indices and covers a twelve-year period through April 2017. It is important for investors to know the impact of oil prices on GCC country equity markets for their portfolio hedging, cross-hedging, diversification and other trading strategies. Johansen’s cointegration methodology was used for this investigation. A strong relationship was found between oil price changes and equity indices for the UAE (Abu Dhabi and Dubai), Qatar and Oman. This implies that the equity indices of these countries are affected by oil price changes. On the other hand, no relationship was found between oil price changes and equity indices for Bahrain, Kuwait and Saudi Arabia.
Full text: 
PDF
Keywords
GCC country equity indices; Oil price changes; Cointegration; Error correction model.
Publication information
Volume 7, Issue 4
Year of Publication: 2019
ISSN: 1857 - 8721
Publisher: EDNOTERA
How to cite
Boldin, R., Chaudhry, M., Okland., T.: GCC Equity Indices and Oil Price Changes: An Analysis of their Relationship. Journal of Applied Economics and Business, Vol 7, No. 4, 5-14. (2019)