Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257379 
Year of Publication: 
2022
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 10 [Issue:] 1 [Article No.:] 16 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-11
Publisher: 
MDPI, Basel
Abstract: 
This study aims to test the causal relationship between Saudi stock market index (TASI) and sectoral indices throughout the period from 2016-2020. The study data were extracted through the main index of the Saudi market and the indices of the available data of 19 sectors out of 21 sectors. The unit root test was used along with the Granger causality test, in addition to multiple regression tests in order to analyze the study hypotheses. The study shows that all index series were stationary at the zero level I (0), and the results also show that there were bidirectional and unidirectional causal relationships between TASI and sectoral indices, and that TASI effectively mirrors all the changes that occur in the Saudi stock market.
Subjects: 
granger causality
sectoral indices
TASI
unit root
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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