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Short Run and Long Run Relationships between Saudi Stocks

Author

Listed:
  • Yassin Eltahir

    (College of Business, King Khalid University, KSA)

  • Hussien Omer Osman

    (College of Business, King Khalid University, KSA)

  • Osama Azmi Sallam

    (College of Business, King Khalid University, KSA)

  • Fethi Klabi

    (College of Business, King Khalid University, KSA)

Abstract

The main objective of this study is to know whether short and long run relationships exist between stock values in the Saudi market. For that purpose, the authors extracted daily stock value data from five distinct Saudi economic sectors. Using modern statistical techniques through MGARCH (DVEC) and error correction models, the authors estimated the stock return variances and concluded that stock values are correlated. On this basis, stocks were found to be stable and safe and detained larger effects on the rest of stocks (Rajhi, banking sector), some were unstable (Bahri, the national shipping carrier), some have moderate effects (Etisalate, telecommunication) and others have no effects such as Almarai (Food industries) and Sabic (petrochemicals). Overall, this study concludes that the Saudi market is stable and safe.

Suggested Citation

  • Yassin Eltahir & Hussien Omer Osman & Osama Azmi Sallam & Fethi Klabi, 2019. "Short Run and Long Run Relationships between Saudi Stocks," International Journal of Economics and Financial Issues, Econjournals, vol. 9(1), pages 193-196.
    • Handle: RePEc:eco:journ1:2019-01-23
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Error Correction Model; M GARCH-VEC; Saudi Market;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G2 - Financial Economics - - Financial Institutions and Services

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