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US Economic Policy Uncertainty and GCC Stock Market

Author

Listed:
  • Abdullah Alqahtani

    (Suffolk University)

  • Miguel Martinez

    (Columbia University)

Abstract

This study contributes to the scant finance literature on emerging countries by examining the relationship between economic policy uncertainty and monthly indices of Gulf Cooperation Council (GCC) stock markets during the period of July 2004 to August 2018. Both U.S. and global economic policy uncertainties exert significant and negative long run influence on stock prices in Bahrain and Kuwait. The impact of U.S. economic policy risk, however, is relatively stronger. Other stock markets in the GCC region, on the other hand, are not affected by U.S. and global economic policy uncertainty. These markets present a sound alternative for international portfolio diversification when the global economic policy uncertainty is on the rise.

Suggested Citation

  • Abdullah Alqahtani & Miguel Martinez, 2020. "US Economic Policy Uncertainty and GCC Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 415-425, September.
    • Handle: RePEc:kap:apfinm:v:27:y:2020:i:3:d:10.1007_s10690-019-09300-5
    DOI: 10.1007/s10690-019-09300-5
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    Cited by:

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    2. Abdou, Hussein A. & Elamer, Ahmed A. & Abedin, Mohammad Zoynul & Ibrahim, Bassam A., 2024. "The impact of oil and global markets on Saudi stock market predictability: A machine learning approach," Energy Economics, Elsevier, vol. 132(C).
    3. Kubra Saka Ilgin, 2022. "Examining the Relationship Between National Economic Policy Uncertainty and Stock Market Indices: An Empirical Analysis for Selected European Countries," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 9(2), pages 455-474, July.

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    More about this item

    Keywords

    Policy uncertainty; Stock price; GCC; ARDL; Breakpoint unit root test;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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