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  1. Oil prices and GCC stock markets
    new evidence from smooth transition models
    Author: Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, Oussama Taher; Rault, Christophe
    Published: May 2018
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns' asymmetric reactions in some GCC countries, but not for others. In Kuwait's case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman's and Qatar's stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior

     
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  2. Oil prices and GCC stock markets
    new evidence from smooth transition models
    Author: Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, Oussama Taher; Rault, Christophe
    Published: May 2018
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not... more

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    Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns' asymmetric reactions in some GCC countries, but not for others. In Kuwait's case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman's and Qatar's stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781484353622
    Other identifier:
    Series: IMF working paper ; WP/18, 98
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen