scholarly journals The Influence of Oil Prices on Stock Market Returns in Saudi Arabian Companies: The Implementation of Econometric Models

2021 ◽  
Vol 6 (2) ◽  

The countries in the sample are of special importance, as they have different rates of growth, different important characteristics of the financial system and levels of stock market progress. The research looks on equity market growth and measures its foreign economic effect, not in terms of profitability to investors (not beyond the scope of our study), but in terms of progress relative to the scale of these economies and the capital expenditure fund needs of those countries. The data used in this study were taken from GCC's monthly time series over the 2008-2018 period. Such factors are actual interest rates, global development level, commodity market returns on commodities and the true price of oil (in US dollars). Thomson Reuters DataStream, Bloomberg and OECD database gather data for this study. For this study, the actual interest rate was selected as this element illustrates market swings. The Industrial Production Index has defined it since the overall energy consumption in an economy is calculated by the amount of products and services generated in the region. The research implemented and econometric approach throughout addressing data from 2008 till 2018 which means 10 years to study the impact of oil prices, exchange rates and their impact on stock market, case Saudi Arabia. The key results showed that the contemporary and postponed impacts on economic development in either capital market liquidity, as measured by turnover or economic change, as measured by the institutional efficiency index. The relationship predictor (investment / Turnover ratio) was seen for the Arab countries to have an important result from the robustness measure. Implementing the strategy of gross capital expenditure expansion and the turnover partnership will lead to a positive impact on the connection between country expenditure and stock market liquidity during the competitive growth model.

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Salem Alshihab ◽  
Nayef AlShammari

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.


2016 ◽  
Vol 23 (02) ◽  
pp. 02-21
Author(s):  
Ly Tran Thi Hai

This study investigates the impact of monetary policy on liquidity of Vietnam’s stock market from September 2007 to November 2014. Time series of liquidity are determined by monthly liquidity data for 643 enterprises in the surveyed period. Two variables of the monetary policy, including growth in money supply and interbank rate, are employed in VAR model along with four different measures of market liquidity. The results show that unexpected variance in the two monetary policy variables has no significant impact on the market liquidity, which, in turn, may be improved by the positive shocks of market returns, inflation, and growth in industrial production. Market variance does produce certain effects, but discrepancies occur in the signs of various liquidity measures.


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