Abstract
This study aims to test the causal relationship between Saudi stock market index (TASI) and sectoral indices throughout the period from 2016–2020. The study data were extracted through the main index of the Saudi market and the indices of the available data of 19 sectors out of 21 sectors. The unit root test was used along with the Granger causality test, in addition to multiple regression tests in order to analyze the study hypotheses. The study shows that all index series were stationary at the zero level I (0), and the results also show that there were bidirectional and unidirectional causal relationships between TASI and sectoral indices, and that TASI effectively mirrors all the changes that occur in the Saudi stock market.
Subject
Economics, Econometrics and Finance (miscellaneous),Development
Reference23 articles.
1. The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market;Ahmed;International Journal of Economics and Finance,2016
2. The Dynamic linkage among Sectoral Indices: Evidence from Indian Stock Market;Aravind;Rajagiri Management Journal,2017
3. Short-Term and Long-Term Linkages Among The Colombian Capital Market Indexes;Arbrlaez;International Review of Financial Analysis,2001
4. Sector Indices Correlation Analysis in China’s Stock Market;Cao;Information Technology and Quantitative Management,2013
5. Cointegration and Error Correction: Representation, Estimation and Testing;Engle;Econometrica,1987
Cited by
5 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献