Impact of Oil Price Shocks on GCC Stock Markets: New Evidence from NARDL Model

The aim of this document is to measure the asymmetric and nonlinear effects of oil price shocks on stock markets in GCC region during the Ukrainian crisis. For this purpose, research in this paper utilizes the nonlinear Autoregressive Distributed Lag (NARDL) and data on GCC stock price indices and oil price from January 2020 until July 2023. The main outcomes of this study demonstrate that both positive and negative shocks in oil prices have significant effect on stock markets performance in GCC region in short and long-term periods. Moreover, these effects tend to have nonlinear trajectories over long-term periods except for stock indices in Saudi Arabia and UAE. The results of this study affirm that policy markets and regulatory authorities in GCC region need to take further steps toward diversifying their economies with less dependence on oil exports and strengthening the financial system structure.