Our aim is to examine the existence of a long-term relationship between oil prices and stock markets in
GCC countries. We use monthly data obtained from the AMF over the period January 1996–December
2007. Note that stock exchanges in the UAE and Qatar are newly established and did not participate in the
AMF database when it began in 2002. Thus, the AMF data we use include only four of the six GCC stock
markets: Bahrain, Kuwait, Oman, and Saudi Arabia