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Co-movement of oil and stock prices in the GCC region: A wavelet analysis

机译：GCC地区石油和股票价格的共同变动：小波分析

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摘要

This paper examines the short term and long term dependencies between stock market returns and OPEC basket oil returns for the six Gulf Cooperation Council (GCC) countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) and two non-oil producing countries in the region (Egypt and Jordan), over the period 2002-2011. We utilize the wavelet coherency methodology in our empirical analyses. The empirical evidence indicates lack of market dependencies in the short term in these countries, indicating that oil and stock returns are not strongly linked in this interval. However, we show that oil returns and the stock markets returns co-move over the long term. The results also suggest that the long term dependencies are much stronger for OPEC oil returns and Jordan stock market returns relative to OPEC oil returns and Egypt stock market returns, implying a variation in the dependencies between oil prices and stock markets across countries. We further note an increasing strength in the market dependencies after 2007, signifying enhanced diversification benefit for investors in the short term relative to the long term.
机译：本文研究了六个海湾合作委员会（GCC）国家（巴林，科威特，阿曼，卡塔尔，沙特阿拉伯和阿拉伯联合酋长国）和两个非海湾国家的股票市场收益与欧佩克一揽子石油收益之间的短期和长期依赖性。 2002-2011年期间该地区（埃及和约旦）的石油生产国。我们在实证分析中利用小波相干方法。经验证据表明，这些国家短期内缺乏对市场的依赖，这表明在这段时间内石油和股票的回报并没有密切的联系。但是，我们显示，从长期来看，石油收益率和股市收益率共同变化。结果还表明，相对于OPEC石油收益和埃及股票市场收益，OPEC石油收益和约旦股市收益的长期依赖性要强得多，这意味着各国之间的石油价格和股票市场之间的依赖性存在差异。我们还注意到，自2007年以来，市场依存度不断增强，这表明从短期来看，相对于长期而言，投资者获得了更多的多元化收益。

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  • 来源
    《The quarterly review of economics and finance》 |2012年第4期|385-394|共10页
  • 作者

    Ibrahim Akoum; Michael Graham; Jarno Kivihaho; Jussi Nikkinen; Mohammed Omran;

  • 作者单位

    Hariri Canadian University, College of Business Administration, P.O. Box 10, Damour, Chouf 2010, Beirut, Lebanon;

    Stockholm University, School of Business, Roslagsvdgen 101, S-106 91 Stockholm, Sweden;

    University of Vaasa, Faculty of Business Studies, Department of Accounting and Finance, P.O. Box 700, FI-65101 Vaasa, Finland;

    University of Vaasa, Faculty of Business Studies, Department of Accounting and Finance, P.O. Box 700, FI-65101 Vaasa, Finland;

    Arab Academy for Science and Technology, College of Management and Technology, Miami, P.O. Box 1029, Alexandria, Egypt,The Egyptian Exchange, 4 (A) El Sherifein St. Down Town, P.O. Box 258, Mohammed Farid, 11513 Cairo, Egypt;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    stock markets; oil prices; GCC;

    机译：股市;石油价格;海湾合作委员会;

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