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Al Janabi, M.A.M., Hatemi-J, A. and Irandoust, M. (2010) An Empirical Investigation of the Informational Efficiency of the GCC Equity Markets: Evidence from Bootstrap Simulation. International Review of Financial Analysis, 19, 47-54.
https://doi.org/10.1016/j.irfa.2009.11.002

has been cited by the following article:

• TITLE: Improving the Forecast Accuracy of Oil-Stock Nexus in GCC Countries

  AUTHORS: Onuoha Ikwor Nnachi

  KEYWORDS: Oil Price, Stock Price, Forecast Evaluation, GCC Countries

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.14, October 25, 2018

  ABSTRACT: This paper renders new insights into the predictability of GCC stock returns using crude oil prices using the approach of [1] [2] that accounts for salient features of the predictor. The results show superior performance of the oil-based stock model over time-series models (namely, AR, MA, ARMA, and ARFIMA) for both in-sample and out-of-sample forecasts. The results are robust to different oil price series (Brent and WTI prices) and forecast horizons (30 and 60 days).