This study investigates the linkage between oil price index (OPI) and stock price index (SPI) in six Gulf Cooperation Council (GCC) countries in two folds. Firstly, it studies the long-run relationship linking the SPI and the OPI for the time span, beginning February 2002 to May 2015. After confirming the dependency of the SPI across cross-sectional units for the six GCC countries three types of panel cointegration tests were used. Pedroni; Kao which is an Engle-Granger two step residual based test, and Fisher which is a combined Johansen test. Secondly, it investigates the linear short-run effect of OPI shocks on these markets by using bootstrapped resample residuals. The findings reveal a robust long-run relationship amid OPI and SPI of six GCC country members. Furthermore, the linear short-run results indicate significant and positive consequence on Oman, Qatar, and UAE of OPI shocks. The findings also indicate that Qatar is the most oriented market for the oil price changes within a short time period

This study investigates the linkage between oil price index (OPI) and stock price index (SPI) in six Gulf Cooperation Council (GCC) countries in two folds. Firstly, it studies the long-run relationship linking the SPI and the OPI for the time span, beginning February 2002 to May 2015. After confirm...