Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets

Ulussever, Talat; Demirer, Rıza

doi:10.1016/j.cbrev.2017.08.001

Cited by 32 publications

(26 citation statements)

References 27 publications

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“…We also establish a positive linkage between crude oil prices and stock prices in support of the literature that suggests that the response of stock market returns to oil price shocks in a country greatly depends on the country's net position in crude oil market and on the driving forces of oil price shocks [22]. It is crystal clear that the GCC countries account for 40% of world oil exports [23]; with Saudi Arabian stock market showing the highest level of sensitivity to oil price 1 [19] concluded that GCC stock markets are information-efficient with regard to oil prices, and, by implication, oil prices do not tend to affect stock markets; hence, oil prices cannot be used as predictors for the GCC stock markets. [20], however, confirmed that oil price shocks contain information for forecasting real stock return in the United States.…”

Section: In-sample Predictability Results: Do Oil Prices Matter In Stsupporting

confidence: 79%

Improving the Forecast Accuracy of Oil-Stock Nexus in GCC Countries

Nnachi¹

2018

TEL

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This paper renders new insights into the predictability of GCC stock returns using crude oil prices using the approach of [1] [2] that accounts for salient features of the predictor. The results show superior performance of the oil-based stock model over time-series models (namely, AR, MA, ARMA, and ARFIMA) for both in-sample and out-of-sample forecasts. The results are robust to different oil price series (Brent and WTI prices) and forecast horizons (30 and 60 days).

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Section: In-sample Predictability Results: Do Oil Prices Matter In Stsupporting

confidence: 79%

Improving the Forecast Accuracy of Oil-Stock Nexus in GCC Countries

Nnachi¹

2018

TEL

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“…For the purpose of conducting tests of herding behaviour, many studies have examined if the stock market also shows herding behaviour around the crude oil market ([ 43 , 44 ] Balcilar et al, 2014, 2017 [ 45 ]; Ulussever and Demirer, 2017) [ 21 ]. BenMabrouk and Litimi (2018) examined all domestic US firms listed on NYSE, AMEX and NASDAQ, from 2000 to 2017, and concluded that US industries display significant herding behaviour for both upturn/downturn extreme oil market returns, although herding behaviour is more prevalent during extreme downturns in oil prices.…”

Section: Literature Reviewmentioning

confidence: 99%

Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*

Chang

McAleer

Wang

2020

Renewable and Sustainable Energy Reviews

139

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Environmental change created worldwide interest in investing in renewable energy. Less reliance on fossil fuels would have a substantial influence on investors for alternative energy, especially renewable energy. The literature has concentrated on empirical studies of herding behaviour in finance, but not in renewable energy. This paper fills the gap by investigating herding in renewable energy, using daily closing prices in renewable and fossil fuel energy stock returns in the USA, Europe, and Asia, for March 24, 2000–May 29, 2020, which covers the Global Financial Crisis (GFC) (2007–2009), the coronavirus crises of SARS (2003). And the ongoing COVID-19 (2019–2020) pandemic. The paper shows that: (1) for low extreme oil returns, investors are more likely to display herding in the stock market; (2) for SARS and COVID-19, herding is more likely during extremely high oil returns after the GFC; and (3) herding is more likely during periods of extremely low oil returns during the coronavirus crises. These results suggest that after the GFC, investors are more sensitive to asset losses, so they will be more likely to display herding in the stock market. However, during SARS and COVID-19, investors panic so they may unwisely sell their assets. There are strong cross-sector herding spillover effects from US fossil fuel energy to renewable energy, especially before the GFC, while the US fossil fuel energy market has a significant influence on the Europe and Asia renewable energy returns during COVID-19. During SARS, which was not a pandemic, US fossil fuels only had an impact on US renewable energy returns.

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“…Most of the studies which focused on the GCC countries and oil shocks, discussed the effects on either banking sector (Khandelwal et al 2016) or/and stock market (Maghyereh and Al-Kandari (2007), Fayyad et al (2011), Arouri and Rault (2012) Ulussever and Demirer 2017). The limited evidence which acknowledged the importance of oil shocks for the real economies of GCC has mostly focused on the causes of oil price fluctuations rather on their impacts and implications for the GCC economies (see for instance, Stern (2011), Tverberg (2012), Arezki and Blanchard (2014), Tokic (2015) and Kallis and Sager (2017).…”

Section: Introductionmentioning

confidence: 99%

Importance of oil shocks and the GCC macroeconomy: A structural VAR analysis

et al. 2019

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This study is an endeavour to analyze the influence of oil price shocks on the macroeconomy of the Gulf Cooperation Council (GCC) member countries (Bahrain, Kuwait, KSA, Oman, Qatar and UAE). By employing a structural Vector auto-regression (SVAR) model for period 1980-2016, our key findings suggest that there are significant positive effects of oil price shocks on the GDP, inflation and trade balance of those countries. The findings, however, show substantial heterogeneities in the responses of the GCC members to oil shocks, which suggests the presence of idiosyncrasies in the underlying structure of their economies and differences in the degree to which these economies are dependent on oil revenues. In terms of inflation, there are also major differences in the intensity of the impact of oil shocks on the overall price, which implies that the GCC monetary policies might face a different genre of challenges to attain price stability in the face of those shocks. Our findings have profound policy implications in terms of diversifying the economies of the GCC countries and efforts to decrease the sole dependence on oil revenues.

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Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets

Cited by 32 publications

References 27 publications

Improving the Forecast Accuracy of Oil-Stock Nexus in GCC Countries

Improving the Forecast Accuracy of Oil-Stock Nexus in GCC Countries

Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*

Importance of oil shocks and the GCC macroeconomy: A structural VAR analysis

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