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The Impact of the Covid-19 epidemic on Saudi stock market performance using a Regression model and Granger causality test-Empirical Analysis

Author

Listed:
  • Dr.Kavita Panjwani
  • Mohammad Arif Riaz

Abstract

The objective of the study to investigates the impact of COVID-19 epidemic on Saudi stock market performance by using regression model and pairwise granger causality tests. The time series data has been taken for this study from 01 March 2020 to 6 Dec 2020. Coronavirus has been measured in terms of cumulative new corona cases per million, new corona deaths per million, total corona cases per million and total corona deaths per million, whereas stock market return is evaluated in terms of stock market index. The study’s finding reveal that Saudi stock market significance affected by COVID-19. The study also depicts that unidirectional and bidirectional relationship between corona-virus cases and Saudi stock market with the help of granger causality test. We also highlight the main the preventive policies taken by governments related to COVID-19 have affected the stock market.

Suggested Citation

  • Dr.Kavita Panjwani & Mohammad Arif Riaz, 2021. "The Impact of the Covid-19 epidemic on Saudi stock market performance using a Regression model and Granger causality test-Empirical Analysis," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 13(1), pages 2234-2234, December.
    • Handle: RePEc:mth:ajfa88:v:13:y:2021:i:1:p:2234
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    References listed on IDEAS

    as
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    2. Zaremba, Adam & Aharon, David Y. & Demir, Ender & Kizys, Renatas & Zawadka, Dariusz, 2021. "COVID-19, government policy responses, and stock market liquidity around the world: A note," Research in International Business and Finance, Elsevier, vol. 56(C).
    3. da Silva, Ramon Gomes & Ribeiro, Matheus Henrique Dal Molin & Mariani, Viviana Cocco & Coelho, Leandro dos Santos, 2020. "Forecasting Brazilian and American COVID-19 cases based on artificial intelligence coupled with climatic exogenous variables," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
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    More about this item

    JEL classification:

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

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