أثر المتغيرات الاقتصادية الكلية على أداء سوق الأسهم السعودي للفترة (2005-2013)‎ باستخدام اختبار التكامل المشترك و نموذج تصحيح الخطأ (ECM)‎

Abstract EN

The aim of this study is to measure the effect of several macroeconomic variables on the performance of the Saudi stock market, by using Co-integration test and Error Correction Model (ECM).

The study variables are represented by the market indicator (General Share Price Index PIND) which is the dependent variable, the variables of the Gross Domestic Product (GDP), the Money Supply (M3), the Interest Rate (INT), the Inflation (INF) represented by the general cost of living index, and the Exchange Rate (EXR) as independent variables for a sample period from the first quarter of 2005 to the fourth quarter 2013.

The results of this study show that there is a significant effect of these variables on the dependent variable in the long run and the short run, and the existence of a long run equilibrium relationship between the macroeconomic variables and the General Share Price Index.

In addition, there are long and short run causality relations run from the independent variables into the General Share Price Index.

The variables: Gross Domestic Product, Money Supply, and Exchange Rate have positive effects on the General Share Price Index.

The Interest Rate and the Inflation have negative effects.