Renouf Publishing Co. Ltd.
embedded image
Renouf
Online Bookstore

ABOUT SSL CERTIFICATES

 
Quick Search
for: 
in 
 
Advanced search
F.A.Q.
Featured books
New in print
Best Sellers
President's picks

Shopping cart/Checkout  [0]
Sign-up for eUpdates
Oil Prices and GCC Stock Markets
New Evidence from Smooth Transition Models

by Nidhaleddine Ben Cheikh, Sami Ben Naceur, Oussama Kanaan, and Christophe Rault

Series:Working Paper No. 18/98
ISBN 9781484353622
Code: #WPIEA2018098

Publication year: 2018

Cdn: $27.00; US: $23.50
Paperback
Language: English
37 pages
Add to cart
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns’ asymmetric reactions in some GCC countries, but not for others. In Kuwait’s case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman’s and Qatar’s stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior.
Oil Prices and GCC Stock Markets
Cdn: $27.00; US: $23.50
International Monetary Fund (IMF) BookID: 122560 Added: 2018.5.15