Effect of US macroeconomic and monetary policy releases on GCC stock markets.

The objective of our proposed study is to investigate the relationship between GCC stock market indices and the US macroeconomic variables using extensive dataset on key US macroeconomic and monetary policy announcements and GCC stock indices. The GCC countries collectively constitute one of the fastest growing global developing economies, and the their stock markets represent emerging but rapidly growing capital markets (Al Janabi, Hatemi and Irandoust, 2010). However, the empirical research on GCC stock markets has not grown with the pace of their development. Thus, there are still many unresolved issues concerning the behaviour of equity markets in these countries. For example, while the effect of US macro and monetary policy releases has been studied extensively in developed economies, no study ? to the best of our knowledge ? has studied the impact of US macroeconomic fundamentals on the equity prices in GCC markets. It is very important for investors and policy makers to have an understanding of the market responsiveness to the relevant information shock. This study will provide a new evidence on the responsiveness of GCC equity markets to the US fundamentals and will, therefore, contribute to the growing debate about transparency and efficiency in these markets.

The objective of our proposed study is to investigate the relationship between GCC stock market indices and the US macroeconomic variables using extensive dataset on key US macroeconomic and monetary policy announcements and GCC stock indices. The GCC countries collectively constitute one of the fastest growing global developing economies, and the their stock markets represent emerging but rapidly growing capital markets (Al Janabi, Hatemi and Irandoust, 2010). However, the empirical research on GCC stock markets has not grown with the pace of their development. Thus, there are still many unresolved issues concerning the behaviour of equity markets in these countries. For example, while the effect of US macro and monetary policy releases has been studied extensively in developed economies, no study ? to the best of our knowledge ? has studied the impact of US macroeconomic fundamentals on the equity prices in GCC markets. It is very important for investors and policy makers to have an understanding of the market responsiveness to the relevant information shock. This study will provide a new evidence on the responsiveness of GCC equity markets to the US fundamentals and will, therefore, contribute to the growing debate about transparency and efficiency in these markets.