A Study of the Effect of Macroeconomic Variables on Stock Market: Saudi Perspective

Journal Article

KSA, Durga Prasad Samontaray1 , Sultan Nugali2 & Bokkasam Sasidhar3, 1.Dept. of Finance, CBA, KSU, Riyadh, KSA, 2.Fixed Income and Money Mkt, Asset Management Dept, Saudi Fransi Cap, 3.Dept. of QA, CBA, KSU, Riyadh, . 2014

• نوع عمل المنشور: Master thesis
• رابط المنشور على الويب: International Journal of Financial Research, Vol. 5, No. 4; 2014
• رقم العدد: No.4
• رقم الإصدار السنوي: Volume 5
• الصفحات: 120 to 127

مستخلص المنشور

As we know investment in the Saudi stock market (TASI) is gaining popularity particularly since 2001 (Report of 
Aljazira Capital – 2010), it is important to know the impact of different macro-economic variables on the returns of 
the Saudi stock market. In this regard along with an extensive literature review we also referred specific recent few 
important studies which considered the Saudi stock return as a dependent variable and other economic factors as the 
independent variables [Kalyanaraman and Al-Tuwajri (2014), Arouri and Rault (2010) and Onour (2008)]. This 
paper examines the three important factors influencing the returns in the Saudi Stock Exchange (TASI) based on the 
macroeconomic variables of Saudi Economy. The dependent variable taken here is the Saudi index that is 
TADAWUL All Stock Index (TASI) and the three independent variables considered for our study here are the Oil 
WTI, Saudi Exports and the PE Ratio. Correlation analysis revealed that Saudi Exports and the PE Ratio were found 
to be highly correlated with TASI at 1% level of significance whereas Oil WTI and TASI are significantly correlated 
at 5% level. Step-wise regression analysis of the data revealed that the multiple regression models is significant at 
1% level and the variable PE Ratio was the most important determinant of TASI followed by Oil WTI and Saudi 
Exports. Further the three independent variables explain about 93% of variation in the TASI Last Price. 
Keywords: TASI, oil WTI, PE ratio, Saudi export, correlation, regression