The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia

Authors

  • Mohammad Alsharif Mohammad Alsharif Assistant Professor in Finance, Department of Finance and Economics, College of Business Administration, Taibah University. Madinah, Saudi Arabia. http://orcid.org/0000-0001-5991-4091

Abstract

Using daily data from 2000 to 2019, this study examines the sensitivity of Saudi market returns and volatility to changes in oil prices. This study employs the threshold general autoregressive conditional heteroskedastic in mean model (TGARCH-M) and three multivariate general autoregressive conditional heteroskedastic (MGARCH) models. Overall, it is found that oil price changes have a significant positive impact on Saudi stock market returns. More, there is a positive relationship between the volatility of stock and oil markets, and this positive relationship has increased significantly in the last decade. Thus, Saudi Arabia is recommended to diversify its economy away from oil income to enhance their stock market efficiency and stability.

Keywords: Saudi Arabia, Tadawul, Oil, Volatility, TGARCH-M, MGARCH

JEL Classifications: C32, E44, G12

DOI: https://doi.org/10.32479/ijefi.9869

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Author Biography

Mohammad Alsharif, Mohammad Alsharif Assistant Professor in Finance, Department of Finance and Economics, College of Business Administration, Taibah University. Madinah, Saudi Arabia.

Mohammad Alsharif was born in 1985 in Madinah, Saudi Arabia. He is an assistant professor in Finance at the Department of Finance and Economics at the College of Business Administration at Taibah University, Saudi Arabia. He has a Master Degree in Finance from the University of Technology Sydney (UTS), Australia with a High Distinction Overall Grade. He also holds a PhD in Finance from Putra Business School at University Putra Malaysia (UPM), Malaysia. He presented papers at conferences and published a recent article at the Journal of Islamic Accounting and Business Research. He also has a recent article that accepted at the Journal of Economics, Finance and Administrative Science and has several papers under review at the Journal Banks and Bank Systems and the International Journal of Finance and Economics.

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Published

2020-07-11

How to Cite

Alsharif, M. (2020). The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia. International Journal of Economics and Financial Issues, 10(4), 1–8. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/9869

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