The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia
Using daily data from 2000 to 2019, this study examines the sensitivity of Saudi market returns and volatility to changes in oil prices. This study employs the threshold general autoregressive conditional heteroskedastic in mean model (TGARCH-M) and three multivariate general autoregressive conditi...
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| Format: | Article |
| Language: | English |
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EconJournals
2020-07-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/9869 |