Saudi Stock Market Under Vision 2030: The Economic Factors at Play
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Date
2024
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Publisher
University of Sussex
Abstract
This research provides an in-depth analysis of the relationship between
macroeconomic variables and the performance of the Saudi stock market, mainly
(TASI) the Tadawul All Share Index within the context of Saudi Vision 2030. Using
monthly data covering between January 2017 to December 2023, the study addresses
the influence of inflation, interest rate on deposits, oil price, and foreign exchange
reserve on the TASI index. Understanding how these macroeconomic factors impact
the TASI will be useful for Saudi Arabian policymakers and investors, enabling more
informed decisions and reduced risk exposure. The research utilizes the
Autoregressive Distributed Lag (ARDL) framework for conducting the analysis. and
discovers that the short- and long-term positive relationship between the price of oil
and TASI is substantial, highlighting their continued influence on the Saudi stock
market despite economic diversification efforts. Other variables like foreign exchange
reserves, inflation, and interest rates show no significant long-term nor short impact
on TASI. The study highlights the stability of the model parameters and the non
existence of heteroskedasticity, autocorrelation, and omitted variables, offering
valuable insights for paunderstanding market dynamics and guiding financial decision
making in Saudi Arabia.
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Keywords
Tadawul All Share Index, inflation, interest rate, oil price, foreign exchange reserve, ARDL
Citation
Harvard