  This paper examines the short-run relationships between oil prices and GCC
stock markets. Since GCC countries are major world energy market players, their
stock markets may be susceptible to oil price shocks. To account for the fact
that stock markets may respond nonlinearly to oil price shocks, we have
examined both linear and nonlinear relationships. Our findings show that there
are significant links between the two variables in Qatar, Oman, and UAE. Thus,
stock markets in these countries react positively to oil price increases. For
Bahrain, Kuwait, and Saudi Arabia we found that oil price changes do not affect
stock market returns.
