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Long run Association of Stock Prices and Crude Oil Prices: Evidence from Saudi Arabia

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  • Abdul Rahman

    (College of Business Administration, Prince Sattam Bin Abdulaziz University, Al Kharj, Saudi Arabia.)

Abstract

An efficient stock market is a sign of a resilient economy. It is also an indicator of investors confidence in the macroeconomic fundamentals of the economy. The association of oil prices and health of the stock market for a predominantly oil-based economy also serves as an indicator of the attempted diversification going on in the economy since the inception of the National Transformational Program 2020. The current research attempts to investigate the relation of oil price changes with stock market prices of Tadawul for the period from 2000 to 2017 by using the Vector Auto Regression (VAR) methodology framework. The results show a long-run association between crude oil price and stock prices of Tadawul, and no short-run association is found between them.

Suggested Citation

  • Abdul Rahman, 2020. "Long run Association of Stock Prices and Crude Oil Prices: Evidence from Saudi Arabia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 124-131.
    • Handle: RePEc:eco:journ2:2020-02-16
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    2. Kamaruddin Kamaruddin & Yusri Hazmi & Raja Masbar & Sofyan Syahnur & M. Shabri Abd. Majid, 2021. "Asymmetric Impact of World Oil Prices on Marketing Margins: Application of NARDL Model for the Indonesian Coffee," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 212-220.
    3. Abdullah M. H. Alharbi, 2023. "Oil Shocks, Monetary Policy, and Stock Returns: A Case of Oil-based Economy," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 56-63, November.
    4. Esmaeil Ebadi & Yousef Abdul Razaq, 2024. "Reinvestigating the Oil Dependency of the GCC Countries’ Stock Market: A Regime-Switching Cointegration Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 387-406, May.

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    More about this item

    Keywords

    stock prices; crude oil prices; long run association; stock market;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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