Examining Causal Relationship between Saudi Stock Market (TASI) and US Stock Markets Indices

Sadouni Mohammed, Mazeri Abdalhafid and Boudjemil Ahmed
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Sadouni Mohammed: Department of Economic, Tahri Mohammed University, P.O.Box 417, Bechar, Algeria.
Mazeri Abdalhafid: Department of Economic, Tahri Mohammed University, P.O.Box 417, Bechar, Algeria.
Boudjemil Ahmed: Department of Economic, Morsli Abdallah University, Ouade Merzouk 4200, Tipaza, Algeria.

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Abstract: This study examines whether there is a causal relationship between Saudi stock market and US stock markets indices, Saudi Arabia is America's leading trading partner in the world, The most commonly used indices US are Dow Jones Industrial Average and S&P 500, the stated indices are taken for study. There are several methods have been used to examine the existence of relationship. However, the Johansen approach to integration is considered a more reliable method than other conventional integration approaches, Johansen approach is more robust and performs well for large sample size, the results show that the null hypothesis of no relationship cannot be accepted. This suggests the existence of a long-run relationship between SAUDI and US Stock markets.

Date: 2020-01-15
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Published in Asian Journal of Economics, Finance and Management , 2020, 2 (1), pp.1-9

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05298586

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