What drives short-term GCC stock market returns? Empirical evidence from fat-tailed distribution

Given that changes in oil prices influence the observable factors in GCC economies, this paper shows unobservable speculative factors that drive short-term stock market returns in Saudi and Bahrain markets. For other GCC markets, such as Dubai, Abu-Dhabi, and Muscat, oil price uncertainty and unobservable speculative factors work together, though in opposite directions, to influence stock prices. However, in the long term, only oil price changes prevail as a determinant of GCC stock prices. Long term is defined as the period of time required for the effect of oil price changes to transmit its influence to major macroeconomic indicators that influence the profitability of firms traded in GCC stock markets.