Abdulrazzaq, Yousef M. and Morales, Lucia and Coughlan, Joseph
(2019)
Oil Sector Spillover Effects to the Kuwait Stock Market in the Context of Uncertainty.
Economics, Management, and Financial Markets, 14 (1).
pp. 21-37.
ISSN 1842-3191
Abstract
. Three major events associated with significant levels of market
uncertainty – the Iraq invasion, the global financial crisis, and the Arab Spring
revolution – are studied in this paper with the aim of identifying if there are
connections between oil prices and the performance of the Kuwait stock market
during these events. The study is supported by the traditional Engle and Granger
cointegration test, the Granger causality test and Frequency Domain Causality
Analysis. The frequency domain causality analysis brings a dynamic dimension to
the study, and facilitates the examination of potential relationships between oil
prices and the Kuwait stock market over the period under study (1995 to 2016).
Interestingly, the research findings did not offer significant evidence on the existence
of a long run association between Brent oil prices and Kuwait’s major stock price
index. Short-run dynamics were identified as follows: i) unidirectional causality was
found between Brent and the Kuwait stock market, a result was not confirmed
during the Arab Spring event; ii) the dynamic causality test revealed a unidirectional
relationship from oil to the stock market only during the Iraq invasion. The findings
indicate that market players should benefit from monitoring short-run dynamics in
the context of the Kuwait Stock Exchange.
| Item Type: |
Article
|
| Keywords: |
Kuwait; stock market; oil prices; market uncertainty; causality; |
| Academic Unit: |
Faculty of Social Sciences > School of Business |
| Item ID: |
17126 |
| Identification Number: |
https://doi.org/10.22381/EMFM14120193 |
| Depositing User: |
Joseph Coughlan
|
| Date Deposited: |
28 Apr 2023 13:38 |
| Journal or Publication Title: |
Economics, Management, and Financial Markets |
| Publisher: |
Addleton Academic Publishers |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
Repository Staff Only(login required)
 |
Item control page |
Downloads per month over past year
Origin of downloads
Altmetric
Altmetric