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Economic policy uncertainty, oil price shocks and GCC stock markets

Author

Listed:
  • Mohamed Arouri

    (CRCGM Université d''Auvergne, France)

  • Christophe Rault

    (LEO, Université d''Orléans (UMR CNRS 7322), and Toulouse Business School, France)

  • Frédéric Teulon

    (IPAG Business School, IPAG – Lab, France)

Abstract

We contribute to the literature by studying the impact of economic policy uncertainty (EPU) from major net oil importers (USA, Europe and China) on Gulf Cooperation Council (GCC) stock markets. We use panel data methods to estimate different specifications. We find that (i) an increase in EPU affects negatively stock returns (ii) this effect is persistent and interacts with oil price changes and (iii) an increase EPU has a delayed positive effect on volatility.

Suggested Citation

  • Mohamed Arouri & Christophe Rault & Frédéric Teulon, 2014. "Economic policy uncertainty, oil price shocks and GCC stock markets," Economics Bulletin, AccessEcon, vol. 34(3), pages 1822-1834.
    • Handle: RePEc:ebl:ecbull:eb-14-00507
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Policy uncertainty; GCC stock markets; Oil prices.;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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