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Mohamed Arouri, Christophe Rault and Frédéric Teulon
''Economic policy uncertainty, oil price shocks and GCC stock markets''
( 2014, Vol. 34 No.3 )
We contribute to the literature by studying the impact of economic policy uncertainty (EPU) from major net oil importers (USA, Europe and China) on Gulf Cooperation Council (GCC) stock markets. We use panel data methods to estimate different specifications. We find that (i) an increase in EPU affects negatively stock returns (ii) this effect is persistent and interacts with oil price changes and (iii) an increase EPU has a delayed positive effect on volatility.
Keywords: Policy uncertainty, GCC stock markets, Oil prices.
JEL: F3 - International Finance: General
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : May 29 2014 Manuscript Accepted : Aug 20 2014

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