Saudi Cultural Missions Theses & Dissertations

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The Effects of Oil Price Variations on Stock Market Returns: Evidence from Saudi Arabia and Spain
(Birkbeck, University of London, 2024-10) Alzamel, Hussah Adnan; Beckert, Walter
This study investigates the effects of oil price variations on stock market performance in Saudi Arabia and Spain. Specifically, we employ the autoregressive distributed lag model to estimate the effects of oil price changes on stock market returns in these net oil-exporting and oil- importing nations, respectively. The empirical findings suggest that, in both cases, oil price increases led to corresponding increases in stock market returns. However, the stock markets of both countries reacted differently to oil price changes during the COVID-19 pandemic, which caused a massive slump in global demand. In Saudi Arabia, a nation whose economy relied heavily on oil, the impact was negative, whereas in Spain, the impact was positive. Using the generalised autoregressive conditional heteroskedasticity (1,1) model, we also modelled volatility in the stock returns and found that oil price increase reduced volatility in the stock returns. Keywords: Saudi Arabia, Spain, ARDL, GARCH, oil prices, stock returns
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