This paper investigates the dynamics of the co-movement of GCC stock market returns with global oil market uncertainty, using an ARMA-DCC-EGARCH and time varying Student-t copula models. Empirical results demonstrate that oil uncertainty has significant and time varying impacts on the GCC stock...

The recent plunge in the price of oil affected many countries, especially major oil producers and exporters, such as the Gulf Corporation Council (GCC), which accounts for half of the global oil reserves. This paper examines the impact of oil price changes on GCC stock markets, including...

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...

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 Corporation Countries (GCC) stock markets. Since GCC countries are major world energy market...