IDEAS home Printed from https://ideas.repec.org/a/ibn/ijefaa/v17y2025i4p31.html
   My bibliography  Save this article

Economic and Geopolitical Shocks and Their Influence on the Saudi Stock Market, Saudi Aramco, and Bitcoin: Evidence from ARDL and VAR Models

Author

Listed:
  • Monia Ferchichi
  • Mariem Talbi
  • Fatma Ismaalia
  • Samia Samil

Abstract

This study examines the dynamic relationships between the Tadawul All Share Index (TASI) returns, Saudi Aramco stock returns, and Bitcoin (BTC/SAR) returns from January 2, 2019, to December 31, 2023. Using the Autoregressive Distributed Lag (ARDL) model, Vector Autoregressive (VAR) models, impulse response functions, and Granger causality tests, the research explores how these relationships evolved across distinct macroeconomic periods, particularly during and after the COVID-19 pandemic and the Russo-Ukrainian war. The ARDL model results indicate stable long-run relationships between TASI and Saudi Aramco returns across all periods. However, these relationships weakened post-COVID-19, likely due to the pandemic’s structural impact. Short-run dynamics exhibited higher volatility during crises, with external shocks playing a significant role. The bounds test confirmed a long-term relationship pre-COVID-19, which weakened post-pandemic. The VAR model highlights strong interlinkages, especially pre-crisis, with TADAWUL returns leading Saudi Aramco returns. This relationship weakened in the post-COVID-19 and post-war periods, indicating global market disruptions. Granger causality tests revealed that causal dynamics are period-specific, with stronger causality observed before the crises. Impulse response functions show that TADAWUL shocks have a more substantial impact on Saudi Aramco than on Bitcoin returns. These findings provide valuable insights for market participants navigating an uncertain economic landscape.

Suggested Citation

  • Monia Ferchichi & Mariem Talbi & Fatma Ismaalia & Samia Samil, 2025. "Economic and Geopolitical Shocks and Their Influence on the Saudi Stock Market, Saudi Aramco, and Bitcoin: Evidence from ARDL and VAR Models," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 17(4), pages 1-31, April.
    • Handle: RePEc:ibn:ijefaa:v:17:y:2025:i:4:p:31
    as

    Download full text from publisher

    File URL: https://ccsenet.org/journal/index.php/ijef/article/download/0/0/51382/55823
    Download Restriction: no
    File URL: https://ccsenet.org/journal/index.php/ijef/article/view/0/51382
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Wei-wei He & Shao-ling He & Hai-lan Hou, 2024. "Digital economy, technological innovation, and sustainable development," PLOS ONE, Public Library of Science, vol. 19(7), pages 1-24, July.
    2. ., 2024. "State Technology-Based Economic Development (TBED) strategies," Chapters, in: Growth Policies for the High-Tech Economy, chapter 11, pages 206-235, Edward Elgar Publishing.
    3. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," Working Papers halshs-00564897, HAL.
    2. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    3. Zanin, Luca & Marra, Giampiero, 2012. "Assessing the functional relationship between CO2 emissions and economic development using an additive mixed model approach," Economic Modelling, Elsevier, vol. 29(4), pages 1328-1337.
    4. PAUL CASHIN & C. JOHN McDERMOTT, 1998. "Are Australia's Current Account Deficits Excessive?," The Economic Record, The Economic Society of Australia, vol. 74(227), pages 346-361, December.
    5. Francesca Iorio & Stefano Fachin, 2014. "Savings and investments in the OECD: a panel cointegration study with a new bootstrap test," Empirical Economics, Springer, vol. 46(4), pages 1271-1300, June.
    6. Paul Cashin & C. McDermott, 2002. "Terms of Trade Shocks and the Current Account: Evidence from Five Industrial Countries," Open Economies Review, Springer, vol. 13(3), pages 219-235, July.
    7. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
    8. Herzer Dierk, 2022. "Semi-endogenous Versus Schumpeterian Growth Models: A Critical Review of the Literature and New Evidence," Review of Economics, De Gruyter, vol. 73(1), pages 1-55, April.
    9. Liu, Yaping & Sadiq, Farah & Ali, Wajahat & Kumail, Tafazal, 2022. "Does tourism development, energy consumption, trade openness and economic growth matters for ecological footprint: Testing the Environmental Kuznets Curve and pollution haven hypothesis for Pakistan," Energy, Elsevier, vol. 245(C).
    10. Vasco Gabriel, 2003. "Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 411-435.
    11. Chi-Wei Su, 2012. "The relationship between exchange rate and macroeconomic variables in China," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 30(1), pages 33-56.
    12. Cheung, Yin-Wong & Rime, Dagfinn, 2014. "The offshore renminbi exchange rate: Microstructure and links to the onshore market," Journal of International Money and Finance, Elsevier, vol. 49(PA), pages 170-189.
    13. Valérie Mignon & Christophe Hurlin, 2007. "Une synthèse des tests de cointégration sur données de panel," Économie et Prévision, Programme National Persée, vol. 180(4), pages 241-265.
    14. Peter Robinson, 2007. "Diagnostic Testing For Cointegration," STICERD - Econometrics Paper Series 522, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    15. Ireland, Peter N., 1999. "Does the time-consistency problem explain the behavior of inflation in the United States?," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 279-291, October.
    16. Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006. "Limit Theorems For Bipower Variation In Financial Econometrics," Econometric Theory, Cambridge University Press, vol. 22(4), pages 677-719, August.
    17. Philippe Andrade & Catherine Bruneau, 2002. "Excess returns, portfolio choices and exchange rate dynamics. The yen/dollar case, 1980–1998," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(3), pages 233-256, July.
    18. Robert Dixon & G.C. Lim, 2004. "Underlying Inflation in Australia: Are the Existing Measures Satisfactory?," The Economic Record, The Economic Society of Australia, vol. 80(251), pages 373-386, December.
    19. Muhammad Farooq Arby & Muhammad Nadeem Hanif, 2010. "Monetary and Fiscal Policies Coordination: Pakistan’s Experience," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 3-13.
    20. Peter G. Warr & Frances Wollmer, 1996. "The Demand For Ldc Exports Of Primary Commodities: The Case Of The Philippines," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 40(1), pages 37-49, April.

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijefaa:v:17:y:2025:i:4:p:31. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.