More on the Impact of Oil Price Shocks on Stock Market Returns: The Case of GCC Countries

ABSTRACTUsing linear and nonlinear models, this paper investigates the responses of stockmarkets in GCC countries to oil price shocks. Our findings show that stock marketreturns significantly react to oil price changes in Qatar, Oman, Saudi Arabia andUAE. In addition, we establish that the relationships between oil prices and stockmarkets in these countries are nonlinear and switching according to the oil pricevalues. However, for Bahrain and Kuwait we found that oil price changes do notaffect stock market returns