This paper investigates the presence of an asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression models, which offer greater flexibility when modeling potentially asymmetric reactions in equities. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not exhibit similar sensitivities to oil price changes. We document that oil price changes have asymmetric effects on stock returns in some GCC countries but not others. More specifically, we find that four out of six GCC stock markets are more sensitive to large oil deviations than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior.

本文调查了石油价格变动与海湾合作委员会 (GCC) 股票市场之间存在的不对称关系。我们建议实施非线性向量平滑过渡回归模型，这在对股票中潜在的不对称反应进行建模时提供了更大的灵活性。与传统观点相反，我们的实证结果表明，海湾合作委员会股票市场对油价变化没有类似的敏感性。我们记录了石油价格变化对一些海湾合作委员会国家的股票回报有不对称的影响，但在其他国家则不然。更具体地说，我们发现六分之四的 GCC 股票市场对大的石油偏差比对小的石油偏差更敏感。