Does COVID-19 Outbreak Push Saudi Crude Oil to Connect with Selected GCC Equity Market? Insight of Time Varying Linkage

This paper attempts to investigate the dynamic linkages between Saudi crude oil prices to the select GCC (Gulf Cooperation Council) equity market during COVID-19 outbreak. We measure the Saudi oil market as Saudi Aramco share price while equity market of GCC economies is proxied as DFM General Equity, MSCI Qatar Equity, Kuwait Main Market 50, MSCI Oman Equity and Bahrain All Share Equity respectively. The data examined markets is collected extending from December 31, 2019 to July 31, 2022. Empirically, the result unfolds that there is no linkage of Saudi crude oil with Bahrain equity market in both short and long run; rest market is witnessed with mixed of linkage in short and long run. Additionally, it reveals that Oman stock market is the highest contributor while Bahrain equity market is the highest receiver of the shock. The more connectedness is found in the long run comparatively. This study furnishes an insight to the various stakeholders of the crude oil markets and financial markets.