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http://hdl.handle.net/1893/34249| Appears in Collections: | Accounting and Finance Journal Articles |
| Peer Review Status: | Refereed |
| Title: | Oil-Stock Nexus: The Role of Oil Shocks for GCC Markets |
| Author(s): | Ziadat, Salem Adel McMillan, David |
| Contact Email: | david.mcmillan@stir.ac.uk |
| Keywords: | Energy finance oil price shocks emerging financial markets |
| Issue Date: | 10-May-2022 |
| Date Deposited: | 1-May-2022 |
| Citation: | Ziadat SA & McMillan D (2022) Oil-Stock Nexus: The Role of Oil Shocks for GCC Markets. Studies in Economics and Finance. https://doi.org/10.1108/SEF-12-2021-0529 |
| Abstract: | This study examines the links between oil price shocks and GCC stock markets from February 2004 to December 2019. Initial results show a positive oil price change increases stock returns, while greater volatility decreases returns. Shock decomposition results reveal a significant positive impact of supply-side shocks on stocks. This contrasts with the literature that argues demand-side shocks are more important. Our result reflects the unique economic structure of the GCC bloc, marked by its dependence on oil revenues. In analysing quantile-based results, oil supply shocks mainly exhibit lower-tail dependence, while we uncover some evidence of demand-side shocks affecting mid and upper-tail dependence. These results will be of interest to global investors and GCC policy-makers. |
| DOI Link: | 10.1108/SEF-12-2021-0529 |
| Rights: | Publisher policy allows this work to be made available in this repository. Published in Studies in Economics and Finance by Emerald. Ziadat SA & McMillan D (2022) Oil-Stock Nexus: The Role of Oil Shocks for GCC Markets. Studies in Economics and Finance. https://doi.org/10.1108/SEF-12-2021-0529. The original publication is available at: [DOI]. This author accepted manuscript is deposited under a Creative Commons Attribution Non-commercial 4.0 International (CC BY-NC) licence. This means that anyone may distribute, adapt, and build upon the work for non-commercial purposes, subject to full attribution. If you wish to use this manuscript for commercial purposes, please contact permissions@emerald.com |
| Notes: | Output Status: Forthcoming/Available Online |
| Licence URL(s): | http://creativecommons.org/licenses/by-nc/4.0/ |
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