The Dynamics of Oil Prices and Stock Markets in Selected Arab Countries: Evidence from the Fourier-Shin Co-integration Test

Abstract

This study uses the Fourier-Shin (F-Shin) cointegration test to examine the long-term interaction between Brent crude oil prices and the equity markets of selected Arab countries, using data from January 2010 to December 2024. The findings reveal a long-term co-integration relationship between oil and stock prices in Jordan, Kuwait, Lebanon, Morocco, Qatar, and Tunisia. However, the DOLS estimator indicates no significant effect of oil prices on stock prices in Jordan, Morocco, Qatar, or Tunisia. This indicates that other macroeconomic or regional factors besides oil prices have a more dominant effect in these countries. It also indicates that sensitivity to energy prices may be limited. This study emphasises the importance of understanding the long-term effects of structural changes and external shocks, such as oil price fluctuations, on stock market dynamics in selected Arab countries.