Browsing by Author "AlJuaid, Sultana"
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Item Restricted The Effect of Oil Prices Fluctuations on Stock Markets: Evidence from Saudi Arabia(University of Essex, 2024-10-04) AlJuaid, Sultana; Smith, EricThis paper explores the dynamic impact of crude oil price changes on the Saudi stock market using monthly data. The study utilizes both a univariate GARCH model and a multivariate GARCH model (BEKK GARCH). The advantage of using the BEKK GARCH model is its ability to estimate the time-varying dynamic effect of crude oil price fluctuations on the Saudi stock market. The empirical findings from the GARCH model support a significant positive effect of crude oil price changes on the Saudi stock market over the study’s sample period. Additionally, the BEKK GARCH model confirms the dynamic relationship between crude oil price changes and the Saudi stock market. Furthermore, the BEKK GARCH model also identifies a contagion effect from the US stock market to the Saudi stock market.21 0