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اتجاهات التكامل بين مؤشر سوق الأسهم السعودية و مؤشر الدواجونز الأمريكي
Other Title(s)
Integration vectors between Saudi stock market index and the American Dow Jones
Author
Source
مجلة التنمية و السياسات الاقتصادية
Issue
Vol. 18, Issue 2 (31 Jul. 2016), pp.45-77, 33 p.
Publisher
Publication Date
2016-07-31
Country of Publication
Kuwait
No. of Pages
33
Main Subjects
Economics & Business Administration
Financial and Accounting Sciences
Topics
Abstract EN
The Research aims to study the behavior of Saudi’s stock price index (TASI) after the start of international financial crises compared with period before the crises.
To achieve the goal of the study, the cointegration between (TASI) and Dow Jones (DJIA) for the two periods was implemented.
The causality between DJIA and TASI was investigated for the two periods.
The study used monthly data for the periods from 01/1999 to 03/2014 to include the time period before international financial crises and after.
The study was supported by daily data from 1/08/2007 to8/15/2008 for the period before the crises which followed bydaily data from 9/02/2008 to12/31/2010 for the period through the international financial crises.
The cointegration,Granger Causality and VECM were implemented to test and to determine the long run equilibrium relationship and the direction of the causality among variables.The cointegration test indicates no existence of long run equilibrium among variables except for the period after the beginning of international financial crises.
The result of cointegration, the Granger Causality and VECM in the period after the beginning of international financial crises indicates that TASI is influenced directly by DJIA.
The implication of the study indicates weak opportunities to achieve the benefits of diversification through investment in the American’s stock market.
The result of daily data reinforce monthly data confirming positive causality running from DJIAto TASI only through the time period of international financial crises.As a result of this study the effect of DJIA on the index of the stock market of Saudi Arabia has reduced the market efficiency of Saudi Arabia.
American Psychological Association (APA)
المطير، سعود. 2016. اتجاهات التكامل بين مؤشر سوق الأسهم السعودية و مؤشر الدواجونز الأمريكي. مجلة التنمية و السياسات الاقتصادية،مج. 18، ع. 2، ص ص. 45-77.
https://search.emarefa.net/detail/BIM-722985
Modern Language Association (MLA)
المطير، سعود. اتجاهات التكامل بين مؤشر سوق الأسهم السعودية و مؤشر الدواجونز الأمريكي. مجلة التنمية و السياسات الاقتصادية مج. 18، ع. 2 (تموز 2016)، ص ص. 45-77.
https://search.emarefa.net/detail/BIM-722985
American Medical Association (AMA)
المطير، سعود. اتجاهات التكامل بين مؤشر سوق الأسهم السعودية و مؤشر الدواجونز الأمريكي. مجلة التنمية و السياسات الاقتصادية. 2016. مج. 18، ع. 2، ص ص. 45-77.
https://search.emarefa.net/detail/BIM-722985
Data Type
Journal Articles
Language
Arabic
Notes
يتضمن مراجع ببليوجرافية : ص. 72-77
Record ID
BIM-722985