Examining the causal relationship between the Saudi stock market (TASI) and oil prices
Joint Authors
Bumimiz, Faysal
al-Saduni, Muhammad
Qiddam, Jamal
Source
Journal of Quantitative Economics Studies
Issue
Vol. 8, Issue 1 (31 Dec. 2022), pp.433-446, 14 p.
Publisher
University Kasdi Merbah Ouargla
Publication Date
2022-12-31
Country of Publication
Algeria
No. of Pages
14
Main Subjects
Topics
Abstract 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)
American Psychological Association (APA)
al-Saduni, Muhammad& Qiddam, Jamal& Bumimiz, Faysal. 2022. Examining the causal relationship between the Saudi stock market (TASI) and oil prices. Journal of Quantitative Economics Studies،Vol. 8, no. 1, pp.433-446.
https://search.emarefa.net/detail/BIM-1376124
Modern Language Association (MLA)
al-Saduni, Muhammad…[et al.]. Examining the causal relationship between the Saudi stock market (TASI) and oil prices. Journal of Quantitative Economics Studies Vol. 8, no. 1 (2022), pp.433-446.
https://search.emarefa.net/detail/BIM-1376124
American Medical Association (AMA)
al-Saduni, Muhammad& Qiddam, Jamal& Bumimiz, Faysal. Examining the causal relationship between the Saudi stock market (TASI) and oil prices. Journal of Quantitative Economics Studies. 2022. Vol. 8, no. 1, pp.433-446.
https://search.emarefa.net/detail/BIM-1376124
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 445-446
Record ID
BIM-1376124
