مجلة الدراسات الإقتصادية الكمية
Volume 8, Numéro 1, Pages 433-446
2022-06-18

Examining The Causal Relationship Between The Saudi Stock Market (tasi) And Oil Prices

Authors : Sadouni Mohammed . Keddam Djamel . Boumimez Fayçal .

Abstract

This study examines the existence of a causal relationship between the Saudi stock market and Oil prices (Brent oil, WTI crude oil, OPEC basket prices). Saudi Arabia is OPEC’s largest oil producer. Using a daily dataset covering the period from 2 January 2019 to 30 March 2022, we find that most studies show oil price volatility transmits to stock market volatility. We used the co-integration approach of Johansen-Juselius (1990) and the causality test ( Granger, 1969, Sims,19972). We found the existence of direct Granger causality from the Saudi stock markets (TASI) to oil prices (BRENT and OPEC basket price)

Keywords

TASI ; co-integration ; Oil Prices ; Causality ; OPEC