However, less attention has been paid to smaller emerging markets, especially in the GCC countries where share dealing is a relatively recent phenomenon. Using VAR models and cointegration tests, Hammoudeh and Eleisa (2004) show that there is a bidirectional relationship between Saudi stock returns and oil price changes. The findings also suggest that the other GCC markets are not directly linked to oil prices and are less dependent on oil exports and are more influenced by domestic factors. Bashar (2006) uses VAR analysis to study the effect of oil price changes on GCC
