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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
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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.
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. 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
Notes: Output Status: Forthcoming/Available Online
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