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Stock prices and the predictive power of macroeconomic variables: the case of the Saudi Stock Market

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dc.contributor.authorAlkhudairy, Khalid S., author
dc.contributor.authorFan, Liang-Shing, advisor
dc.date.accessioned2024-03-13T18:14:54Z
dc.date.available2024-03-13T18:14:54Z
dc.date.issued2008
dc.description.abstractA literature review of the relationship between stock market prices and fundamental economic activities showed that there is a disagreement among economists about this relationship. Some studies show that there is a relationship between stock prices and fundamental economic activities, while others do not support this relationship.
dc.description.abstractUtilizing the technique of cointegration, Granger causality based on the vector-error correction model (VECM), and the innovation analysis, this study investigates the long-run and short-run interactions between stock market prices and measures of aggregate real activity, including real money supply, bank credit, oil price, and the Standard and Poor's 500 Index in Saudi Arabia. Beside the composite index of the Saudi Stock Market, six sectional indexes, namely, the bank sector index, the industry sector index, the cement sector index, the service sector index, the electric sector index, and the agriculture sector index were tested for informational efficiency against these measures.
dc.description.abstractThe results of the cointegration analysis indicates that there exists a positive long-run relationship between stock prices and money supply, bank credit, oil prices and the Standard and Poor's 500 in all indexes. The Granger causality test results indicate that in the long run, there is a unidirectional causality from stock prices to money supply in the cement sector, electric sector, and agriculture sector, while a bidirectional causality is observed between stock prices and money supply in the composite index, the bank sector, industry sector, and the service sector.
dc.description.abstractThe short-run causality showed different relationships among indices. While all variables: money supply, bank credit, oil price, and the Standard and Poor 500 Index caused movement in stock prices in the general index, none of these variables caused the stock prices in the electric sector index, and the agriculture index.
dc.description.abstractThe innovation analysis tends to suggest that stock prices dynamically interact with their own macroeconomic factors. Most of the variation in stock prices in all indexes can be captured by innovation in itself as well as in money supply, bank credit, oil prices, and Standard and Poor's 500 Index, while the reverse also holds. The analysis suggests that the stock market in Saudi Arabia is not informationally efficient with respect to macroeconomic variables.
dc.format.mediumborn digital
dc.format.mediumdoctoral dissertations
dc.identifierETDF_Alkhudairy_2008_3321254.pdf
dc.identifier.urihttps://hdl.handle.net/10217/237550
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartof2000-2019
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.rights.licensePer the terms of a contractual agreement, all use of this item is limited to the non-commercial use of Colorado State University and its authorized users.
dc.subjecteconomic indicators
dc.subjectmacroeconomic variables
dc.subjectSaudi Stock Market
dc.subjectstock market
dc.subjectstock prices
dc.subjectfinance
dc.titleStock prices and the predictive power of macroeconomic variables: the case of the Saudi Stock Market
dc.typeText
dcterms.rights.dplaThis Item is protected by copyright and/or related rights (https://rightsstatements.org/vocab/InC/1.0/). You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).
thesis.degree.disciplineEconomics
thesis.degree.grantorColorado State University
thesis.degree.levelDoctoral
thesis.degree.nameDoctor of Philosophy (Ph.D.)

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