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https://dspace.univ-ouargla.dz/jspui/handle/123456789/31207
Title: | Examining The Causal Relationship Between The Saudi Stock Market (tasi) And Oil Prices |
Authors: | Sadouni Mohammed Keddam Djamel Boumimez Fayçal |
Keywords: | TASI co-integration Oil Prices Causality OPEC |
Issue Date: | 30-Jun-2022 |
Series/Report no.: | Volume 8, Numéro 1 2022; |
Abstract: | 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) |
Description: | مجلة الدراسات الإقتصادية الكمية |
URI: | https://dspace.univ-ouargla.dz/jspui/handle/123456789/31207 |
ISSN: | 1033-2437 |
Appears in Collections: | Number 08 /2022 |
Files in This Item:
File | Description | Size | Format | |
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JQES080132F.pdf | 470,05 kB | Adobe PDF | View/Open |
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