Time-varying predictability in crude-oil markets: the case of GCC countries
Energy PolicyPublished 19 April 2010
Mohamed El Hédi Arouri, Duc Khuong Nguyen, Thanh Huong Dinh
Citations53
SJR quartileQ1
SJR score2.69
SNIP2.20
Generate an AI Snapshot to get a quick, structured summary of this paper.
Study Snapshot
ObjectiveStudy objective
MethodsResearch methodology
PopulationPopulation studied
Sample sizeSample sizes
OutcomesStudy outcomes here
ResultsStudy results comes here
LimitationsResearch study limitations comes here
A concise AI-generated summary of the paper will appear here once you click Generate AI Snapshot.
Abstract
HAL is a multi-disciplinary open access archive for the deposit and dissemination of sci-entific research documents, whether they are pub-lished or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et a ̀ la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés.
Keywords
Economics, Econometrics and Finance
Journal of EconometricsGeneralized autoregressive conditional heteroskedasticity
22,300 Citations1986Tim Bollerslev
The Journal of FinanceEfficient Capital Markets: A Review of Theory and Empirical Work
13,299 Citations1970Eugene F. Fama
Journal of Political EconomyOil and the Macroeconomy since World War II
3,776 Citations1983James D. Hamilton
National Bureau of Economic ResearchLong-term Memory in Stock Market Prices
1,457 Citations1989Andrew W. Lo
Global Finance JournalOil price risk and emerging stock markets
921 Citations2006Syed Abul Basher, Perry Sadorsky
Energy EconomicsDoes oil move equity prices? A global view
645 Citations2007Mohan Nandha, Robert W. Faff
Journal of Financial EconomicsStriking oil: Another puzzle?
610 Citations2008Gerben Driesprong, Ben Jacobsen +1 more
Energy EconomicsCommon and fundamental factors in stock returns of Canadian oil and gas companies
477 Citations2006M. Martin Boyer, Didier Filion
Energy EconomicsEvidence on the nature and extent of the relationship between oil prices and equity values in the UK
461 Citations2005Idris El-Sharif, Dick Brown +3 more
Energy EconomicsOil prices and economic activity: An asymmetric cointegration approach
402 Citations2006Sandrine Lardic, Valérie Mignon
OPEC Energy ReviewOn the influence of oil prices on economic activity and other macroeconomic and financial variables*
289 Citations2008François Lescaroux, Valérie Mignon
Contemporary Economic PolicyDynamic Relationships among GCC Stock Markets and Nymex Oil Futures
277 Citations2004Shawkat Hammoudeh, Eisa A. Aleisa
Energy EconomicsShort-term predictability of crude oil markets: A detrended fluctuation analysis approach
242 Citations2008José Álvarez‐Ramírez, Jesús Álvarez +1 more
Energy EconomicsAre the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
237 Citations2006Benjamin Miranda Tabak, Daniel O. Cajueiro
Journal of Futures MarketsThe relationship between spot and futures prices: Evidence from the crude oil market
191 Citations1999Param Silvapulle, Imad A. Moosa
Energy EconomicsOil shock and economic growth in Japan: A nonlinear approach
183 Citations2008Dayong Zhang
South African Journal of EconomicsTHE CHANGING EFFICIENCY OF AFRICAN STOCK MARKETS
182 Citations2005Keith Jefferis, G. Stevenson Smith
Managerial FinanceOil prices and stock markets in GCC countries: new evidence from nonlinear cointegration analysis
165 Citations2007Aktham Maghyereh, Ahmad M. Al-Kandari
Energy PolicyUnit root properties of crude oil spot and futures prices
133 Citations2008Svetlana Maslyuk, Russell Smyth
It is found that each of the oil price series can be characterised as a random walk process and that the endogenous structural breaks are significant and meaningful in terms of events that have impacted on world oil markets.
Energy EconomicsTesting for common features in North American energy markets
130 Citations2004Apostolos Serletis, Ricardo Rangel-Ruiz
Review of Financial EconomicsLong memory in energy futures prices
125 Citations2007John P. Elder, Apostolos Serletis
GCC countries: From oil dependence to diversification
120 Citations2003Ugo Fasano-Filho, Zubair Iqbal
The Energy JournalThreshold Cointegration Analysis of Crude Oil Benchmarks
111 Citations2008Shawkat Hammoudeh, Bradley T. Ewing +1 more
Journal of Comparative EconomicsThe Evolution of Stock Markets in Transition Economies
108 Citations2000Michael Rockinger, Giovanni Urga
Energy EconomicsAre there exploitable inefficiencies in the futures market for oil?
107 Citations2005William Shambora, Rosemary Rossiter
Operational ResearchWild oil prices, but brave stock markets! The case of GCC stock markets
102 Citations2006Bashar Abu Zarour
The empirical evidence suggests the predictive power of oil prices has been increased after the raise in oil prices, while both Saudi and Omani markets only have the power to predict oil prices.
Energy EconomicsThe impact of energy derivatives on the crude oil market
98 Citations1999Jeff Fleming, Barbara Ostdiek
Economics LettersExamining the first stages of market performance: a test for evolving market efficiency
96 Citations1999Anna Zalewska, Stephen G. Hall
arXiv (Cornell University)On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
79 Citations2009Mohamed El Hédi Arouri, Julien Fouquau
SSRN Electronic JournalOil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries?
63 Citations2010Mohamed El Hédi Arouri, Christophe Rault
Journal of Applied EconometricsToward efficiency in the crude‐oil market
48 Citations1991Steven L. Green, Knut Anton Mork
Stock Market Liberalization and Informational Efficiency in Emerging Markets: New Consideration and Tests
14 Citations2007Duc Khuong Nguyen, Patrice Fontaine