Time-varying predictability in crude-oil markets: The case of GCC countries

Energy Policy

Volumn 38, Issue 8, 2010, Pages 4371-4380

  El Hedi Arouri, Mohamed ^a   Huong Dinh, Thanh ^b   Khuong Nguyen, Duc ^c  

^a EDHEC BUSINESS SCHOOL   (France)

^b UNIVERSITÉ PARIS EST CRÉTEIL   (France)

^c UPS3611   (France)

Author keywords

Kalman filter; Oil price behavior; Weak form efficiency

Indexed keywords

BREAKPOINT; DYNAMIC BEHAVIORS; EMPIRICAL RESEARCH; EMPIRICAL RESULTS; GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; GULF COOPERATION COUNCIL; OIL MARKET; OIL PRICES; OIL-PRICE BEHAVIOR; PRICE CHANGES; STRUCTURAL BREAK; TIME VARYING; TIME VARYING PARAMETER; UNITED ARAB EMIRATES;

COMMERCE; CRUDE OIL; KALMAN FILTERS; TIME VARYING SYSTEMS;

COSTS;

CONVERGENCE; CRUDE OIL; EMPIRICAL ANALYSIS; ENERGY MARKET; KALMAN FILTER; NUMERICAL MODEL; PRICE DETERMINATION; PRICE DYNAMICS;

QATAR; UNITED ARAB EMIRATES;

EID: 77952868793     PISSN: 03014215     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.enpol.2010.03.065     Document Type: Article

References (38)

1. Alvarez-Ramirez J., Alvarez J., Rodriguez E. Short-term predictability of crude oil markets: a detrended fluctuation analysis approach. Energy Economics 2008, 30:2645-2656.
2. Arouri, M., Rault, C., 2009. Oil prices and stock markets: what drives what in the Gulf Corporation Council countries? Academic Working Paper Series No. 09. William Davidson Institute.
3. Ashenwald J., Fink S., Tappeiner G. Brave new modeling: cellular automata and artificial neural networks for mastering complexity in economics. Complexity 2002, 7:39-46.
4. Bai J., Perron P. Computation and analysis of multiple structural change models. Journal of Applied Econometrics 2003, 18:1-22.
5. Basher S.A., Sadorsky P. Oil price risk and emerging stock markets. Global Finance Journal 2006, 17:224-251.
6. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 1986, 31:307-327.
7. Boyer M.M., Filion D. Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy Economics 2007, 29:428-453.
8. Driesprong G., Jacobsen B., Maat B. Striking oil: another puzzle?. Journal of Financial Economics 2008, 89:307-327.
9. Elder J., Serletis A. Long memory in energy futures prices. Review of Financial Economics 2008, 17:146-155.
10. El-Sharif I., Brown D., Burton B., Nixon B., Russell A. Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Economics 2005, 27:819-830.
11. Fama E.F. Efficient capital markets II. Journal of Finance 1991, 46:1575-1617.
12. Fama E.F. Efficient capital markets: a review of theory and empirical work. Journal of Finance 1970, 25:383-417.
13. Fasano U., Iqbal Z. GCC countries: From Oil Dependence to Diversification 2003, IMF Working Paper, Washington, DC.
14. Fleming J., Ostdiek B. The impact of energy derivatives on the crude oil market. Energy Economics 1999, 21:135-167.
15. Fontaine P., Nguyen D.K. Stock market liberalization and informational efficiency in emerging markets: new consideration and tests. Banks, Markets and Investors 2006, 84:6-17.
16. Green S.L., Mork K.A. Toward efficiency in the crude-oil market. Journal of Applied Econometrics 1991, 6:45-66.
17. Hamilton J.D. Oil and the macroeconomy since World War II. Journal of Political Economy 1983, 91:228-248.
18. Hammoudeh S., Aleisa E. Dynamic relationship among GCC stock markets and NYMEX oil futures. Contemporary Economic Policy 2004, 22:250-269.
19. Hammoudeh S., Li H. Risk-return relationships in oil-sensitive stock markets. Finance Letters 2004, 2:10-15.
20. Hammoudeh S.M., Ewing B.T., Thompson M.A. Threshold cointegration analysis of crude oil benchmarks. Energy Journal 2008, 29:79-96.
21. Harvey A.C. Time Series Models 1993, Harvester-Wheatsheaf, New York. second ed.
22. Jefferis K., Smith G. The changing efficiency of African stock markets. South African Journal of Economics 2005, 73:54-73.
23. Jones C.M., Kaul G. Oil and the stock markets. Journal of Finance 1996, 51:463-491.
24. Lardic S., Mignon V. Oil prices and economic activity: an asymmetric cointegration approach. Energy Economics 2008, 30:847-855.
25. Lescaroux F., Mignon V. On the influence of oil prices on economic activity and other macroeconomic and financial variables. OPEC Energy Review 2008, 32:343-380.
26. Lo A.W. Long-term memory in stock market prices. Econometrica 1991, 59:1279-1313.
27. Maghyereh A., Al-Kandari A. Oil prices and stock markets in GCC countries: new evidence from nonlinear cointegration analysis. Managerial Finance 2007, 33:449-460.
28. Maslyuk S., Smyth R.L. Unit root properties of crude oil spot and futures prices. Energy Policy 2008, 36:2591-2600.
29. Matthies K. Commodity prices continue to fall. Intereconomics 1998, 33:245-248.
30. Nandha M., Faff R. Does oil move equity prices? A global view. Energy Economics 2008, 30:986-997.
31. Rockinger M., Urga G. The evolution of stock markets in transition economies. Journal of Comparative Economics 2000, 28:456-472.
32. Serletis A., Rangel-Ruiz R. Testing for common features in North American energy markets. Energy Economics 2004, 26:401-414.
33. Shambora W.E., Rossiter R. Are there exploitable inefficiencies in the futures market for oil?. Energy Economics 2007, 29:18-27.
34. Sivapulle P., Moosa I.A. The relationship between spot and futures prices: evidence from the crude oil market. Journal of Futures Markets 1999, 19:175-193.
35. Tabak B.M., Cajueiro D.O. Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility. Energy Economics 2007, 29:28-36.
36. Zalewska-Mitura A., Hall S.G. Examining the first stages of market performance: a test for evolving market efficiency. Economics Letters 1999, 64:1-12.
37. Zarour B.A. Wild oil prices, but brave stock markets!The case of Gulf Cooperation Council (GCC) stock markets. Operational Research: An International Journal 2006, 6:145-162.
38. Zhang D. Oil shock and economic growth in Japan: a nonlinear approach. Energy Economics 2008, 30:2374-2390.