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.

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美国经济政策不确定性和海湾合作委员会股票市场表现

摘要研究评估了美国经济政策不确定性对海湾合作委员会（GCC）国家股票市场收益的影响。海湾合作委员会国家是沙特阿拉伯，卡塔尔，阿联酋，科威特，巴林和阿曼。进行格兰杰因果关系检验（GCT）的主要目的是评估经济政策不确定性是否会导致格兰杰对GCC股票市场收益的影响。分析确定，油价上涨导致沙特阿拉伯，科威特和阿联酋的股票市场收益。美国经济政策的不确定性变化对股市收益造成的影响却并非如此。美国格兰杰经济政策不确定性的变化导致巴林股市收益。另一方面，美国经济政策的不确定性不会导致卡塔尔，阿联酋，科威特和沙特阿拉伯的股市收益。