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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 8

An Econometric Analysis of the Impact of Oil Prices on Stock Markets in Gulf Cooperation Countries

Mohamed El Hedi Arouria and Christophe Raultb,    aCRCGM, University of Auvergne, Clermont-Ferrand, France,    bToulouse Business School, France,    E-mail: mohamed.arouri@udamail.fr, chrault@hotmail.com, http://chrault3.free.fr/

Abstract

This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated Regression (SUR) methods to investigate the existence of a long-run relationship between oil prices and Gulf Cooperation Council (GCC) Countries stock markets. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil price shocks. Using two different (weekly ...

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