Chapter 3

Stock Prices and Crude Oil Shocks: The Case of GCC Countries

A. Al-Maadid*,**
F. Spagnolo*
N. Spagnolo**    Department of Economics and Finance, Brunel University, London, United Kingdom**    College of Business and Economics, Qatar University, Doha, Qatar

Abstract

The aim of this chapter is to identify the effects of oil price volatility on stock market volatility for eight oil exporter or importer countries. Using weekly data for the 2004–15 period, we model the relationship between oil and stock prices using a multivariate GARCH–BEKK model. We find evidence of comovement between oil and stock markets, especially in the GCC region, whereas results for volatility spillovers are quite mixed. Consequently, general policies aimed at stabilizing ...

Get Handbook of Frontier Markets now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.

Start your free trial