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Impact of global health crisis and oil price shocks on stock markets in the GCC

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  • Refai, Hisham Al
  • Zeitun, Rami
  • Eissa, Mohamed Abdel-Aziz

Abstract

This study examines the impact of global COVID-19 cases and oil price shocks on the stock markets in the GCC. Using the Kalman filter to generate the unexpected oil price shocks, we find that, with the exception of Oman, the GCC markets responded to positive and negative oil price shocks before and during the pandemic, with impacts of higher magnitude since March 11, 2020. We also find that the spread of global COVID-19 cases had in itself no meaningful impact on the GCC stock markets.

Suggested Citation

  • Refai, Hisham Al & Zeitun, Rami & Eissa, Mohamed Abdel-Aziz, 2022. "Impact of global health crisis and oil price shocks on stock markets in the GCC," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002117
    DOI: 10.1016/j.frl.2021.102130
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    Cited by:

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    2. Iyer, Subramanian Rama & Simkins, Betty J., 2022. "COVID-19 and the Economy: Summary of research and future directions," Finance Research Letters, Elsevier, vol. 47(PB).
    3. Li, Dongxin & Zhang, Feipeng & Yuan, Di & Cai, Yuan, 2024. "Does COVID-19 impact the dependence between oil and stock markets? Evidence from RCEP countries," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 909-939.
    4. Muhammad Naeem Shahid, 2022. "COVID-19 and adaptive behavior of returns: evidence from commodity markets," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-15, December.
    5. Zhuoqi Teng & Renhong Wu & Yugang He & Anibal Coronel, 2023. "Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval," Discrete Dynamics in Nature and Society, Hindawi, vol. 2023, pages 1-10, June.
    6. Darshita Fulara Gunwant & Sartaj Rasool Rather & Faisal Nazir Zargar, 2024. "Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 138-141, May.
    7. Saeed Rabea Baatwah & Ehsan Saleh Almoataz & Khaled Salmen Aljaaidi, 2022. "Tightened it and ruined it: Earnings management trade-off as a consequence of key audit matters disclosure," Economics Bulletin, AccessEcon, vol. 42(2), pages 678-693.
    8. Talal A. N. M. S. Alotaibi & Lucía Morales, 2022. "Financial Uncertainty from a Dual Shock at Global Level–Insights from Kuwait," IJFS, MDPI, vol. 10(4), pages 1-24, October.
    9. Ge, Zhenyu & Sun, Yang, 2024. "Asymmetric impact of oil price shocks on inflation: Evidence from quantile-on-quantile regression," International Review of Financial Analysis, Elsevier, vol. 92(C).

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    More about this item

    Keywords

    COVID-19; Oil price shocks; GCC stock markets; Global health crisis; Kalman filter;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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