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Economic Change and Restructuring

Erschienen in:

10.04.2017

Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis

verfasst von: Salah A. Nusair, Jamal A. Al-Khasawneh

Erschienen in: Economic Change and Restructuring | Ausgabe 4/2018

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Abstract

This paper examines the effects of oil price shocks on the stock market returns of the Gulf Cooperation Council countries. The empirical method used is quantile regression analysis. In addition, we allow for structural breaks and asymmetry by differentiating between positive and negative oil price changes. Unlike OLS analysis, quantile regression allows the coefficient estimates to vary throughout the distribution of the dependent variable, which provides a complete picture of the relationship between the explanatory variables and the dependent variable. Our results suggest that the coefficient estimates have not been constant throughout the distribution of stock returns; that oil price shocks have asymmetrical effects on stock returns; and that the effects of oil price shocks on stock market returns are affected by stock market conditions. Overall, the results suggest that rising oil prices increase stock returns only when stock markets are bullish (high quantiles) and normal (medium quantiles), and that falling oil prices lower stock returns only when stock markets are bearish (low quantiles) and normal (medium quantiles). This suggests that oil and stock markets are more likely to boom together or crash together.

Vorheriger Artikel Oil price changes and stock market returns: cointegration evidence from emerging market

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For a discussion of these channels, see Kilian (2008), Lardic and Mignon (2008, 2006), Brown and Yücel (2002).

The other crude oil prices are Saharan Blend of Algeria, Minas of Indonesia, Iran Heavy, Basra Light of Iraq, Es Sider of Libya, Bonny Light of Nigeria, and BCF 17 of Venezuela.

The model and testing procedure are not explained in details due to space limitation. Interested readers are referred to the original papers mentioned in the references.

Due to the large number of graphs, only the quantile plots for oil price changes are presented. All unreported graphs are available upon request from the corresponding author.

Due to the large number of graphs, only the quantile plots for positive and negative oil price changes are presented. All unreported graphs are available upon request from the corresponding author.

Results of testing the null hypothesis of equal coefficient estimates on \(o^{ + }\) and \(o^{ - }\) are not reported, but available upon request from the corresponding author.

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Titel: Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis
verfasst von: Salah A. Nusair
Jamal A. Al-Khasawneh
Publikationsdatum: 10.04.2017
Verlag: Springer US
Erschienen in: Economic Change and Restructuring / Ausgabe 4/2018
Print ISSN: 1573-9414
Elektronische ISSN: 1574-0277
DOI: https://doi.org/10.1007/s10644-017-9207-4

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