This article contributes to the literature by investigating whether or not oil price changes have significantly affected stock market returns in the last years. In fact, during these years price volatility for both crude oil and related products has been great. Unlike most previous papers, which focus on the ., European and major Asian stock markets, our paper analyses the impact of oil price fluctuations on Gulf Corporation Council (GCC) markets. These markets are interesting for several reasons. First, GCC countries have attracted increasing attention in recent years. In the wake of high oil prices since 2003, they have.
