Browsing by Author "Alrkhis, Salma"

Now showing 1 - 1 of 1

Restricted
Cross-Market Linkages: Examining the interactions between the Saudi stock market and US stock market
(Saudi Digital Library, 2023-12-01) Alrkhis, Salma; Zaffaroni, Paolo
This paper investigates the interactions between the Saudi stock market and the US stock market to understand the cross-market linkages and their implications for international portfolio diversification. Through an in-depth examination of historical data, augmented with econometric models such as Granger Causality tests and correlations, the study sheds light on the extent of integration and co-movements between these two markets. The data set comprises monthly and daily stock market data spanning a period of 22 years, incorporating TASI index, Dow Jones index and S&P500 index. The paper meticulously examines the dynamic correlations between these markets, elucidating how events in one market can have repercussions in the other. Findings reveal that there exists a long-term relationship between the Saudi and US stock markets. The study identifies that the US stock market movements tend to have a more pronounced impact on the Saudi market than the reverse. However, events in the Saudi market can still contribute to fluctuations in the US market.
44 0