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...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2020-07-01
|
| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/9869 |
| _version_ | 1797908412357410816 |
|---|---|
| author | Mohammad Alsharif |
| author_facet | Mohammad Alsharif |
| author_sort | Mohammad Alsharif |
| collection | DOAJ |
| description |
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 conditional heteroskedastic (MGARCH) models. Overall, it is found that oil price changes have a significant positive impact on Saudi stock market returns. More, there is a positive relationship between the volatility of stock and oil markets, and this positive relationship has increased significantly in the last decade. Thus, Saudi Arabia is recommended to diversify its economy away from oil income to enhance their stock market efficiency and stability.
Keywords: Saudi Arabia, Tadawul, Oil, Volatility, TGARCH-M, MGARCH
JEL Classifications: C32, E44, G12
DOI: https://doi.org/10.32479/ijefi.9869
|
| first_indexed | 2024-04-10T10:53:16Z |
| format | Article |
| id | doaj.art-7e787381dbf742128ae92ccca6cf6e38 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:53:16Z |
| publishDate | 2020-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-7e787381dbf742128ae92ccca6cf6e382023-02-15T16:20:05ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382020-07-01104The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi ArabiaMohammad Alsharif0Mohammad Alsharif Assistant Professor in Finance, Department of Finance and Economics, College of Business Administration, Taibah University. Madinah, 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 conditional heteroskedastic (MGARCH) models. Overall, it is found that oil price changes have a significant positive impact on Saudi stock market returns. More, there is a positive relationship between the volatility of stock and oil markets, and this positive relationship has increased significantly in the last decade. Thus, Saudi Arabia is recommended to diversify its economy away from oil income to enhance their stock market efficiency and stability. Keywords: Saudi Arabia, Tadawul, Oil, Volatility, TGARCH-M, MGARCH JEL Classifications: C32, E44, G12 DOI: https://doi.org/10.32479/ijefi.9869 http://mail.econjournals.com/index.php/ijefi/article/view/9869 |
| spellingShingle | Mohammad Alsharif The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia International Journal of Economics and Financial Issues |
| title | The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia |
| title_full | The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia |
| title_fullStr | The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia |
| title_full_unstemmed | The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia |
| title_short | The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia |
| title_sort | relationship between the returns and volatility of stock and oil markets in the last two decades evidence from saudi arabia |
| url | http://mail.econjournals.com/index.php/ijefi/article/view/9869 |
| work_keys_str_mv | AT mohammadalsharif therelationshipbetweenthereturnsandvolatilityofstockandoilmarketsinthelasttwodecadesevidencefromsaudiarabia AT mohammadalsharif relationshipbetweenthereturnsandvolatilityofstockandoilmarketsinthelasttwodecadesevidencefromsaudiarabia |