Abdullah Saeed S Alqahtani

Most of the GCC countries currencies are pegged to the US dollar, which make the economy those countries susceptible to the US monetary policy change. This paper used the non-structural VAR tests to examine the spillovers impact of the two recently developed US monetary policy uncertainty indices (the BBD MPU and the HRS MPU) shocks on GCC stock markets from 2003: M01 to 2017: M07. The result revealed that during the period under review, the two MPU have slight significant impact on some GCC markets. But the HRS MPU has more impact than the BBD MPU. Besides this, unidirectional causality running from HRS MPU to Bahraini and Kuwaiti Stock market was detected within the period. Hence, policymakers should realize the heterogeneity impacts from US MPU to stock markets in GCC countries. The findings also help investors and portfolio managers to better understand the effects of US monetary policy uncertainty on the stock markets.