Abstract
A number of recent studies have found a link between oil price changes and stock prices. However, these studies mostly concentrate on developed economies and analyze the impact of oil price shocks on stock returns at the aggregate stock market level. We assess the relation between changes in crude oil prices and equity returns in Gulf Cooperation Council (GCC) countries using country-level as well as industry-level stock return data. Our findings show that at the country level, except for Kuwait, stock markets have significant positive exposures to oil price shocks. At the industry level, the responses of industry-specific returns to oil shocks are significantly positive for only 12 out of 20 industries. Our study also provides evidence that oil price changes have asymmetric effects on stock market returns at the country level as well as at the industry level.