English, Article edition: Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures Shawkat Hammoudeh; Eisa Aleisa

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures
Author
  • Shawkat Hammoudeh
  • Eisa Aleisa
Physical Description
  • article
Notes
  • Daily relationships among stock markets of the Gulf Cooperation Council (GCC) members, excluding Qatar, form two equilibrium relationships with varying predictive power. The Saudi market leads, followed by Bahrain and United Arab Emirates. Kuwait, which is dominated by momentum traders, and Oman have the weakest links with the other GCC markets. Only the Saudi index can predict-and be predicted by-New York Mercantile Exchange oil futures prices. Therefore these markets are candidates for diversified regional portfolios at the country level. The trading day effect is weak for all GCC markets and oil futures prices but remains consistent with findings for the U.S. stock market. (JEL "C22", "F3", "Q49") Copyright 2004 Western Economic Association International.
  • RePEc:bla:coecpo:v:22:y:2004:i:2:p:250-269
Language
  • English
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