This paper investigates the dynamics of the co-movement of GCC stock market returns with global oil market uncertainty, using an ARMA-DCC-EGARCH and time varying Student-t copula models. Empirical results demonstrate that oil uncertainty has significant and time varying impacts on the GCC stock returns. The GCC stock returns are found to be negatively affected by oil market uncertainty for almost the entire period under examination. More interestingly, we find that the impact of oil price uncertainty differs across GCC member states and allow for grouping. The results also show that the stock markets of Oman and Bahrain are relatively less sensitive to the oil uncertainty factor, thus offering investors and portfolio managers different investment options and portfolio diversification opportunities across GCC members.
|Number of pages||9|
|Early online date||04 Nov 2019|
|Publication status||Published - Dec 2019|