macroeconomic forces and stock prices: some empirical evidence from Saudi Arabia, international journal of financial research, vol.5, No1, 2014

Journal Article

Altuwaijri, Lakshmi Kalyanaraman, Basmah . 2014

• نوع عمل المنشور: دكتوراه
• الوسوم: كتابة
• المجلة \ الصحيفة: international journal of financial research
• رقم العدد: 1
• رقم الإصدار السنوي: vol. 5
• الصفحات: 81-92

مستخلص المنشور

Abstract

This paper examines if there exists a long run relationship among five macroeconomic variables, consumer price index, industrial output, money supply, exchange rate, oil prices along with the global stock prices proxy Standard and Poor 500 index and Saudi all share stock index. Time series analysis is applied using monthly data from January 1994 to June 2013. Application of Johansen cointegration test finds the existence of a long run relationship among the chosen variables. All macroeconomic variables are found to impact stock prices. Standard and Poor 500 index does not affect Saudi stock prices. Vector error correction model shows the presence of long run causality from the explanatory variables to the stock prices. Short run causality test finds a two-way causality between stock prices and

oil prices. Impulse response function shows that industrial production shocks pushes up stock prices while consumer price index shocks pulls it down. Variance decompositions show that historical stock prices are the major driver of Saudi stock prices. This implies that Saudi stock market follows weak form of market efficiency. The results of this paper have important implications for the investors in Saudi stock market.