TY - BOOK ID - 85289991 TI - Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models AU - Ben Cheikh, Nidhaleddine. AU - Ben Naceur, Sami. AU - Kanaan, Oussama. AU - Rault, Christophe. PY - 2018 SN - 1484355725 1484355660 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Petroleum products KW - Mazut KW - Petroleum KW - Hydraulic fluids KW - Prices KW - Econometric models. KW - Refining KW - Investments: Energy KW - Finance: General KW - Investments: Stocks KW - Macroeconomics KW - Energy and the Macroeconomy KW - Energy: Demand and Supply KW - General Financial Markets: General (includes Measurement and Data) KW - Price Level KW - Inflation KW - Deflation KW - Energy: General KW - Pension Funds KW - Non-bank Financial Institutions KW - Financial Instruments KW - Institutional Investors KW - Finance KW - Investment & securities KW - Oil prices KW - Stock markets KW - Asset prices KW - Oil KW - Stocks KW - Financial markets KW - Commodities KW - Financial institutions KW - Stock exchanges KW - Petroleum industry and trade KW - Kuwait UR - https://www.unicat.be/uniCat?func=search&query=sysid:85289991 AB - Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns’ asymmetric reactions in some GCC countries, but not for others. In Kuwait’s case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman’s and Qatar’s stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior. ER -