<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The study evaluates the effect of economy policy uncertainty of US on gulf cooperation council (GCC) countries’ stock market returns. The GCC countries are Saudi Arabia, Qatar, UAE, Kuwait, Bahrain and Oman. Granger Causality Tests (GCT) was done primarily to evaluate if economy policy uncertainty granger cause on GCC stock market returns. The analysis established that oil prices granger cause stock market returns for Saudi Arabia, Kuwait and UAE; the same is not true on changes in economic policy uncertainty of US cause on the stock market returns. Changes in economy policy uncertainty in US granger causes on stock market returns of Bahrain. On the other hand, economy policy uncertainty in US does not cause stock market returns in Qatar, UAE, Kuwait and Saudi Arabia. Vector Autoregression (VAR) analysis establishes that economy policy uncertainty in US negatively responds to the stock market returns of the GCC countries.</p></abstract>

The study evaluates the effect of economy policy uncertainty of US on gulf cooperation council (GCC) countries’ stock market returns. The GCC countries are Saudi Arabia, Qatar, UAE, Kuwait, Bahrain and Oman. Granger Causality Tests (GCT) was done primarily to evaluate if economy policy uncertainty granger cause on GCC stock market returns. The analysis established that oil prices granger cause stock market returns for Saudi Arabia, Kuwait and UAE; the same is not true on changes in economic policy uncertainty of US cause on the stock market returns. Changes in economy policy uncertainty in US granger causes on stock market returns of Bahrain. On the other hand, economy policy uncertainty in US does not cause stock market returns in Qatar, UAE, Kuwait and Saudi Arabia. Vector Autoregression (VAR) analysis establishes that economy policy uncertainty in US negatively responds to the stock market returns of the GCC countries.

US Economic Policy Uncertainty and GCC Stock Market Performance

Studies in Business and Economics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"US Economic Policy Uncertainty and GCC Stock Market Performance"}

The study evaluates the effect of economy policy uncertainty of US on gulf cooperation council (GCC) countries’ stock market returns. The GCC countries are...

US Economic Policy Uncertainty and GCC Stock Market Performance

Publié en ligne: 20 mai 2020

Pages: 223 - 242

DOI: https://doi.org/10.2478/sbe-2020-0017

Mots clés
GCC, EPU, Granger Causality Test, Vector Autoregression (VAR)

© 2020 Saeed Abdullah, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

US Economic Policy Uncertainty and GCC Stock Market Performance

Publié en ligne: 20 mai 2020

Pages: 223 - 242

DOI: https://doi.org/10.2478/sbe-2020-0017

Mots clésGCC, EPU, Granger Causality Test, Vector Autoregression (VAR)

© 2020 Saeed Abdullah, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
GCC, EPU, Granger Causality Test, Vector Autoregression (VAR)