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Crude oil price and stock markets in major oil-exporting countries: evidence of decoupling feature

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  • Ibrahim A. Onour

Abstract

This paper investigates common cyclical feature between crude oil market and stock markets in major oil-exporting countries including Saudi Arabia, United Arab Emirates (UAE) and Kuwait. The results of the paper show the evidence of common cyclical association between oil price and each of the stock prices at low levels of oil prices, below $40 per oil barrel, but no evidence of such cyclical association between the two asset prices at the high oil price levels above $72 per barrel. This implies that the capital markets in these countries and oil market respond in different pattern to cycle generating shocks, as high oil prices may raise global investment risk.

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  • Ibrahim A. Onour, 2012. "Crude oil price and stock markets in major oil-exporting countries: evidence of decoupling feature," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(1), pages 1-10.
    • Handle: RePEc:ids:ijmefi:v:5:y:2012:i:1:p:1-10
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    Cited by:

    1. Dong, Yang & Wen, Shu-hui & Hu, Xiao-bing & Li, Jiang-Cheng, 2020. "Stochastic resonance of drawdown risk in energy market prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    2. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
    3. Venkata Sai Srinivasa Rao Muramalla & Hassan Ali Alqahtani, 2020. "Long Run Association of Oil Prices and Stock Prices: A Case of Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 593-600.
    4. Li, Jiang-Cheng & Leng, Na & Zhong, Guang-Yan & Wei, Yu & Peng, Jia-Sheng, 2020. "Safe marginal time of crude oil price via escape problem of econophysics," Chaos, Solitons & Fractals, Elsevier, vol. 133(C).

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    More about this item

    Keywords

    common trends; shared cycles; nonlinear cointegration; crude oil prices; stock markets; oil exporting countries; oil exports; Saudi Arabia; United Arab Emirates; UAE; Kuwait; investment risks.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • F30 - International Economics - - International Finance - - - General

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