مؤشرات السوق المالية السعودية و جائحة Covid-19 في ظل رؤية المملكة 2030

Abstract EN

This study examines the indicators of the Saudi stock market sectors from different angles.

On the one hand, it examines the extent to which they are affected by the Covid-19 pandemic that ravaged the economies of most countries of the world.

On the other hand, it examines degree of stability of the returns of the indicators of that market, and consequently the level of efficiency of pricing the securities in it.

In addition, the study tends to identify the sectors oriented to the movement of the main index of the market.

Several statistical tests were conducted in order to achieve these goals.

A test of the difference between the average returns of indicators after and before the pandemic (Paired Sample Test) was conducted., Random walk test (Runs Test) of closing values of those indicators was also conducted.

Moreover, the test of Unit root (Augmented Dicky Fuller) for the time series representing the returns of those indicators was also conducted.

Finally, a regression model in a Seemingly Unrelated Regression method between the returns of the main index as a dependent variable and the returns of the sub-indices of the market as independent variables was developed.

The study resulted in that, the returns of the Saudi market indices were not negatively affected by the Covid-19 pandemic, the market is not inefficient at the weak level, and a number of leading sectors for the main index were identified, while it was not proven that the energy sector is the most influential, which this is in line with the Kingdom’s vision 2030.