Examining the causal relationship between the Saudi stock market (TASI)‎ and oil prices

الملخص EN

This study examines the existence of a causal relationship between the Saudi stock market and Oil prices (Brent oil, WTI crude oil, OPEC basket prices).

Saudi Arabia is OPEC's largest oil producer.

Using a daily dataset covering the period from 2 January 2019 to 30 March 2022, we find that most studies show oil price volatility transmits to stock market volatility.

We used the co-integration approach of Johansen-Juselius (1990) and the causality test ( Granger, 1969, Sims, 19972).

We found the existence of direct Granger causality from the Saudi stock markets (TASI) to oil prices (BRENT and OPEC basket price)