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Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures

Author

Listed:
  • Shawkat Hammoudeh
  • Eisa Aleisa
Abstract
Daily relationships among stock markets of the Gulf Cooperation Council (GCC) members, excluding Qatar, form two equilibrium relationships with varying predictive power. The Saudi market leads, followed by Bahrain and United Arab Emirates. Kuwait, which is dominated by momentum traders, and Oman have the weakest links with the other GCC markets. Only the Saudi index can predict—and be predicted by—New York Mercantile Exchange oil futures prices. Therefore these markets are candidates for diversified regional portfolios at the country level. The trading day effect is weak for all GCC markets and oil futures prices but remains consistent with findings for the U.S. stock market. (JEL C22, F3, Q49)

Suggested Citation

  • Shawkat Hammoudeh & Eisa Aleisa, 2004. "Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures," Contemporary Economic Policy, Western Economic Association International, vol. 22(2), pages 250-269, April.
    • Handle: RePEc:bla:coecpo:v:22:y:2004:i:2:p:250-269
    DOI: 10.1093/cep/byh018
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F3 - International Economics - - International Finance
    • Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other

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