أثر عدم تماثل التضخم على عوائد مؤشر الأسهم باستخدام منهجية NARDL : دراسة حالة سوق الأسهم السعودي

Abstract EN

The study aimed to analyze the relationship between inflation and the returns of the Saudi stock market index using the NARDL methodology.

The study included the period 2013-2017 using monthly data.

The study found that there is a long-term equilibrium relationship between inflation and the returns of the Saudi stock market index.

It was an inverse relationship.

It also found that there is asymmetry effect, the market index is affected only by positive changes in inflation in the long and short term.

Moreover, it resulted that the Saudi economy has reached high levels of inflation, which negatively affected the Saudi stock market.