THE EFFECT OF OIL PRICES ON STOCK MARKETS FROM A LONG TERM POINT OF VIEW: EMPIRICAL EVIDENCE FROM OIL EXPORTING GCC COUNTRIES AND OIL IMPORTING OECD COUNTRIES
Qadri, Muhammad Zaid (2015) THE EFFECT OF OIL PRICES ON STOCK MARKETS FROM A LONG TERM POINT OF VIEW: EMPIRICAL EVIDENCE FROM OIL EXPORTING GCC COUNTRIES AND OIL IMPORTING OECD COUNTRIES. [Dissertation (University of Nottingham only)]
In this study, we analyse the effect of oil prices on stock returns using selected oil importing countries, that is, Germany, Netherlands and Japan and oil exporting countries of the GCC region. We use a GARCH (1,1) Model to ascertain this relationship and divide our selected period of 2005-2015 into different time periods. Our results indicate that there exists a negative significant relationship on a whole for Germany and Netherlands, while there does not appear to be any significant relationship for the GCC countries and Japan. We then analyse our results on the basis of efficiency of stock markets, oil importing and exporting countries and whether the oil price fluctuations are demand or supply side shocks.
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