—By combining artificial intelligence and genetic
training algorithms this paper constructs a hybrid model that
measures the degree of contagion between oil prices and stock
markets for the Gulf Cooperation Council countries. The
model’s architecture captures the strength of the pulse that is
being transmitted between the oil market and the six markets
of the United Arab Emirates, Bahrain, Kuwait, Oman, Qatar
and Saudi Arabia over the period 2008-2015. Sensitivity
reports suggest that the degree of spillover between oil and
global equity markets varies by country and over time. This
research seeks to provide insights related to the strength of
transmissions and to answer questions that deal with
symmetry and diversification. By improving the measurements
of the connection strengths that link markets together, more
prudent management may be adopted that would enhance the
effectiveness of policy implementation.
—Artificial intelligence, contagion between oil
and equity markets, GCC countries.
Mona El Shazly is with the Columbia College, USA (e-mail:
Cite: M. El Shazly and A. Lou, "Measuring Contagion between Oil Prices and Stock Markets in the GCC Countries Using a Hybrid Artificial Neural Network Model," International Journal of Trade, Economics and Finance vol.7, no.4, pp. 93-96, 2016.