Investigating the Connectedness between Oil and Stock Markets in GCC countries: Evidence from Rolling-Window Frequency Domain Causality

Basit Öğe Kaydı
dc.authoridDESTEK, Mehmet Akif/0000-0002-2514-9405
dc.contributor.authorSezen, Serhat
dc.contributor.authorCevik, Emrah I.
dc.contributor.authorAl-Eisa, Eisa Abdulrahman
dc.contributor.authorBugan, Mehmet Fatih
dc.contributor.authorDestek, Mehmet Akif
dc.date.accessioned2025-04-06T12:23:55Z
dc.date.available2025-04-06T12:23:55Z
dc.date.issued2025
dc.departmentTekirdağ Namık Kemal Üniversitesi
dc.description.abstractThis study aims to investigate the causal relationship between oil prices and stock markets in GCC countries. We use weekly stock index and crude oil price data from November 21, 2003, to August 6, 2021, to analyze the spillover effect on the returns and variances of these countries. First, the link between the variables is examined using the frequency domain causality test. Since our sample includes important financial episodes such as the global financial crisis and the global COVID-19 pandemic, we employ rolling-window frequency domain causality test to determine whether such causal relationships exist in these financial crises. To the best of our knowledge, the paper is among the first to employ rolling-window frequency domain causality test to investigate the relationship between the variables. The analysis reveals that the Omani, Kuwaiti, and Bahraini stock markets have limited portfolio diversification benefits due to their high dependence on the price of oil. In addition, Saudi Arabia has the most pronounced divergence in the oil price interaction among GCC stock markets. Investors can benefit from the empirical results practical implications, particularly regarding portfolio diversification. The shifting link between oil and stock markets across different countries and time periods underscores the importance of dynamic diversification strategies that adapt to business cycles.
dc.description.sponsorshipGaziantep University
dc.description.sponsorshipNone, no fund received.
dc.identifier.doi10.1007/s10614-025-10859-7
dc.identifier.issn0927-7099
dc.identifier.issn1572-9974
dc.identifier.scopus2-s2.0-85218019948
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1007/s10614-025-10859-7
dc.identifier.urihttps://hdl.handle.net/20.500.11776/17260
dc.identifier.wosWOS:001412745900001
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherSpringer
dc.relation.ispartofComputational Economics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WOS_20250406
dc.subjectOil price
dc.subjectStock markets
dc.subjectCovid-19 pandemic
dc.subjectRolling window frequency domain causality
dc.subjectC58
dc.subjectE44
dc.subjectQ43
dc.titleInvestigating the Connectedness between Oil and Stock Markets in GCC countries: Evidence from Rolling-Window Frequency Domain Causality
dc.typeArticle

Dosyalar

Koleksiyon

WoS İndeksli Yayınlar Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu