The Impact of Oil Price Fluctuations on Saudi Arabia Stock Market: A Vector Error-Correction Model Analysis
Abstract
This paper examine the relationship between oil prices and the Saudi Stock Market by testing the null hypothesis that oil prices are statistically significant predictors of the Saudi stock market's movements for the period 2000-2019. Finding the time series to be cointegrated, the paper performs the testing procedure by employing a Vector Error Correction Model (VECM) and results obtained indicate that oil prices are not statistically significant predictors of Saudi stock market movements, thus giving us reason to reject our null hypothesis. We also find evidence that the New York Stock Exchange NYSE is a better predictor of both the Saudi stock index and oil price fluctuations, paving the way for further research into these correlations in the future.Keywords: Oil price, stock exchange, Vector Error Correction Model, Saudi ArabiaJEL Classifications: E44, G12, G15, C32DOI: https://doi.org/10.32479/ijeep.10525Downloads
Download data is not yet available.
Downloads
Published
2020-10-10
How to Cite
Al-Mogren, N. B. A. (2020). The Impact of Oil Price Fluctuations on Saudi Arabia Stock Market: A Vector Error-Correction Model Analysis. International Journal of Energy Economics and Policy, 10(6), 310–317. Retrieved from https://econjournals.com/index.php/ijeep/article/view/10525
Issue
Section
Articles