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Issue Q2 2010  
Oil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries  
Mohamed Arouri
Christophe Rault
The aim of this paper is to investigate the relationship between oil prices and stock markets in Gulf Corporation Council (GCC) countries. Using a weekly dataset covering the period from 7 June 2005 to 25 May 2010, we show strong statistical evidence that the causal relationship is consistently bi-directional for Saudi Arabia. Stock market price changes in the other GCC member countries do not Granger cause oil price changes, whereas oil price shocks Granger cause stock price changes. Therefore, investors in GCC stock markets should look at the changes in oil prices, whereas investors in oil markets should look at changes in the Saudi stock market. Abstract

GCC stock markets ; oil prices ; Keywords
G12 ; F3 ; Q43 ; JEL classification
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