Zaffaroni, PaoloAlrkhis, Salma2023-12-112023-12-112023-12-01https://hdl.handle.net/20.500.14154/70144This 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.46enInvestment strategiesEconomic globalizationFinancial risk hedgingDynamic correlationsS&P500 indexDow Jones indexTASI indexCo-movementsMarket integrationCorrelationsGranger Causality testsEconometric modelsInternational portfolio diversificationUS stock marketSaudi stock marketCross-market linkagesThesis