Mohammad Anasweh

Department of Finance and Banking, School of Business, 

Mutah University, Jordan

msanaswah@yahoo.com

Sectoral sensitivity of Oman stock market to oil price movements

Abstract. This study investigates Omani stock market responses to the decline in oil prices. It examines the effects at both market and sectoral levels, specifically to distinguish the sector reaction from the market reaction as a whole. The period of the study, covering 10 years from 2010-2019, experienced huge swings in oil prices. Using Granger causality and regression analysis, the results support the asymmetric sensitivity of stock market returns to oil price fluctuations. This study also concludes that the Omani stock market and its heterogeneous sectors differ in their responses to oil price fluctuations. Oman stock market is dealing with the drop in oil prices by reducing the dependence of certain sectors on oil revenues which would make them less susceptible to the decline in oil prices. Further studies, employing different methodologies to investigate other GCC stock markets, will increase our understanding of the dynamics between oil price fluctuations and GCC sectoral returns.

Received: April, 2020

1st Revision: September, 2020

Accepted: January, 2021

DOI: 10.14254/2071-8330.2021/14-1/15

JEL Classification: G12, G15

Keywords: Oman stock market, oil prices, GCC stock markets, Granger causality