Causal relationships between oil and stock prices: some new evidence from gulf oil-exporting countries

International Economics

Volumn 122, Issue , 2010, Pages 41-56

  AROURI, Mohamed El Hedi ^a   RAULT, Christophe ^a  

^a NONE

Author keywords

F3; G12; GCC stock markets; oil prices; Q43

Indexed keywords

EID: 85056099643     PISSN: 21107017     EISSN: None     Source Type: Journal    
DOI: 10.1016/S2110-7017(13)60029-3     Document Type: Article

References (27)

1. Balaz, P., Londarev, A., Oil and its position in the process of globalization of the world economy. Politicka Ekonomie 54:4 (2006), 508–528.
2. Bashar, Z., Wild oil prices, but brave stock markets! The case of Gulf Cooperation Council (GCC) stock markets. Operational Research: an International Journal 6:2 (2006), 145–162.
3. Basher, S.A., Sadorsky, P., Oil Price Risk and Emerging Stock Markets”. Global Finance Journal 17 (2006), 224–251.
4. Breitung, J., Pesaran, M., Unit Roots and Cointegration in Panels. Matyas, L., Sevestre, P., (eds.) The Econometrics of Panel Data, 2005, Klüver Academic Press.
5. Breusch, T., Pagan, A., The LM Test and Its Applications to Model Specification in Econometrics. Review of Economic Studies 47 (1980), 239–254.
6. Brown, S.P.A., Yücel, M.K., Energy Prices and Aggregate Economic Activity: An Interpretative Survey. The Quarterly Review of Economics and Finance 42 (2002), 193–208.
7. Cologni, A., Manera, M., Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries. Energy Economics 30 (2008), 856–888.
8. Cunado, J., Perez de Garcia, F., Oil prices, economic activity and inflation: evidence for some Asian countries. The Quarterly Review of Economics and Finance 45:1 (2005), 65–83.
9. 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 27 (2005), 819–830.
10. Gronwald, M., Large oil shocks and the US economy: Infrequent incidents with large effects. Energy Journal 29 (2008), 151–171.
11. Hammoudeh, S., Aleisa, E., Dynamic relationship among GCC stock markets and NYMEX oil futures'. Contemporary Economic Policy 22 (2004), 250–269.
12. Hammoudeh, S., Choi, K., Behavior of GCC Stock Markets and Impacts of US Oil and Financial Markets. Research in International Business and Finance 20:1 (2006), 22–44.
13. Huang, R.D., Masulis, R.W., Stoll, H.R., Energy shocks and financial markets. Journal of Futures Markets 16 (1996), 1–27.
14. Jones, C.M., Kaul, G., Oil and the Stock Markets. Journal of Finance 51:2 (1996), 463–491.
15. Kilian, L., Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the US Economy?. Review of Economics and Statistics 90 (2008), 216–240.
16. Kónya, L., Exports and growth: Granger causality analysis on OECD countries with a panel data approach. Economic Modelling 23 (2006), 978–982.
17. Lardic, S., Mignon, V., The impact of oil prices on GDP in European countries: An empirical investigation based on asymmetric cointegration. Energy Policy 34:18 (2006), 3910–3915.
18. Lardic, S., Mignon, V., Oil prices and economic activity: An asymmetric cointegration approach. Energy Economics 30:3 (2008), 847–855.
19. Lescaroux, F., Mignon, V., On the influence of oil prices on economic activity and other macroeconomic and financial variables. OPEC Energy Review 32:4 (2008), 343–380.
20. Naceur, S.B., Ghazouani, S., Stock markets, banks, and economic growth: empirical evidence from MENA region. Research in International Business and Finance 21 (2007), 297–315.
21. Neaime, S., Financial market integration and macroeconomic volatility in the MENA region: an empirical investigation. Review of Middle East Economics and Finance 3 (2005), 231–253.
22. Papapetrou, E., Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece. Energy Economics 23 (2001), 511–532.
23. Phillips, P.C.B., Fully modified least squares and vector autoregression. Econometrica 63 (1995), 1023–1078.
24. Sadorsky, P., Oil Price Shocks and Stock Market Activity. Energy Economics 2 (1999), 449–469.
25. Toda, H.Y., Yamamoto, T., Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics 66 (1995), 225–250.
26. Fasano, U., Iqbal, Z, 2003. GCC Countries: from oil dependence to diversification”, International Monetary Fund, Washington D.C.
27. Shiller, R.J., Perron, P., Testing the random walk hypothesis: Power versus frequency of observation. Economic Letters 18 (1985), 381–386.