Using linear and nonlinear models, this paper investigates the responses of stock
markets in GCC countries to oil price shocks. Our findings show that stock market
returns significantly react to oil price changes in Qatar, Oman, Saudi Arabia and
UAE. In addition, we establish that the relationships between oil prices and stock
markets in these countries are nonlinear and switching according to the oil price
values. However, for Bahrain and Kuwait we found that oil price changes do not
affect stock market returns.