This paper investigates the impact of oil price changes on herding behaviour in the Gulf Cooperation Council (GCC) stock market. For this purpose, a sectoral analysis was employed. Based on a combination of the methodologies of Ulussever and Demirer (Cent Bank Rev 17:77–89, 2017) and Medhioub and Chaffai (Int J Financ Stud 7(65):1–11, 2019) and using daily prices for the five GCC sectors from 6 July 2014 to 31 December 2019, the results showed that the impact of changes in oil price movements on herding behaviour differs among sectors and subperiods. Further, we discovered that some sectors herd around the oil price returns during falling and that oil return dispersions have a dominant influence on some sectors during downward and/or upward periods.

本文研究了石油价格变化对海湾合作委员会（GCC）股票市场中羊群行为的影响。为此，采用了部门分析。基于Ulussever和Demirer（Cent Bank Rev 17：77–89，2017）和Medhioub和Chaffai（Int J Financ Stud 7（65）：1-11，2019）的方法学结合，并使用这五个方法的每日价格2014年7月6日至2019年12月31日期间，海湾合作委员会各部门的结果显示，石油价格变动的变化对羊群行为的影响在各部门和不同时期之间是不同的。此外，我们发现在下跌期间某些行业聚集在石油价格收益的周围，而在下行和/或上升期间，石油收益的分散对某些行业具有主要影响。