Oil price and stock market returns uncertainties and private investment in Saudi Arabia

Imed Medhioub and Mohammed Makni ()

Economic Journal of Emerging Markets, 2020, vol. 12, issue 2, 208-219

Abstract: The private sector plays a crucial role in the economy. This paper constructs an empirical model for the sector in Saudi Arabia. It incorporates oil price uncertainty as well as stock market returns volatility to predict the sector. It estimates the GARCH (generalized autoregressive conditional heteroskedasticity) and ARDL (autoregressive distributed lag) models. Findings/Originality: Our estimations show significant evidence of a long-run relationship between private investment, oil price, and the stock market. We also find that the stock market index has a significant positive effect on private investment in the short run. The effects are strong in the case of unexpected news from the oil sector. Oil price uncertainty can be considered as a channel of transmission of negative shocks on the private sector. For these reasons, when Saudi Arabia has launched its 2030 vision, it announced that one of its goals is to become a non-oil dependent country.

Keywords: Macroeconomic Uncertainty; Private Investment; Oil price; Stock market; GARCH process; ARDL model. (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://journal.uii.ac.id/JEP/article/view/14820/10599 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uii:journl:v:12:y:2020:i:2:p:208-219:id:14820

Access Statistics for this article

Economic Journal of Emerging Markets is currently edited by Ana Yuliani

More articles in Economic Journal of Emerging Markets from Universitas Islam Indonesia
Bibliographic data for series maintained by Ana Yuliani ().