The role of oil as a determinant of stock market interdependence: The case of the USA and GCC

This paper focuses on oil as a key determinant in US-GCC stock market interdependence. The analysis uses monthly data over the period from January 2003 to December 2019. interdependence between US and GCC is established using Asymmetric Dynamic Conditional Correlation model. We then investigate impact of both range macroeconomic variables nature correlation. Our results find that returns volatility significantly explain changes Echoing recent financialization oil, sub-sample reveals increasing importance determining Further, effect displays asymmetric tail dependence with correlation, where more pronounced upper correlation's conditional distribution. Both financial shocks coincide structural breaks correlation series. A series robustness tests, including alternative measures continue support results.