Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/32132
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: The Role of Oil as a Determinant of Stock Market Interdependence: The Case of the USA and GCC
Author(s): McMillan, David
Ziadat, Salem
Herbst, Patrick
Contact Email: david.mcmillan@stir.ac.uk
Issue Date: Mar-2021
Date Deposited: 7-Jan-2021
Citation: McMillan D, Ziadat S & Herbst P (2021) The Role of Oil as a Determinant of Stock Market Interdependence: The Case of the USA and GCC. Energy Economics, 95, Art. No.: 105102. https://doi.org/10.1016/j.eneco.2021.105102
Abstract: This paper focuses on oil as a key determinant in US-GCC stock market interdependence. The analysis uses monthly data over the period from January 2003 to December 2019. The interdependence between the US and GCC is established using the Asymmetric Dynamic Conditional Correlation model. We then investigate the impact of both oil and a range of macroeconomic variables on the nature of the correlation. Our results find that oil returns and volatility significantly explain changes in the US-GCC correlation. Echoing the recent financialization of oil, sub-sample analysis reveals the increasing importance of oil in determining interdependence. Further, the effect of oil displays asymmetric tail dependence with the correlation, where the oil impact is more pronounced in the upper tail of the correlation’s conditional distribution. Both oil and financial shocks coincide with structural breaks in the correlation series. A series of robustness tests, including alternative correlation and oil measures continue to support the results.
DOI Link: 10.1016/j.eneco.2021.105102
Rights: This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted refereed manuscript of: McMillan D, Herbst P & Ziadat S (2021) The Role of Oil as a Determinant of Stock Market Interdependence: The Case of the USA and GCC. Energy Economics, 95, Art. No.: 105102. https://doi.org/10.1016/j.eneco.2021.105102 © 2021, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Licence URL(s): http://creativecommons.org/licenses/by-nc-nd/4.0/

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