Description
Title: Saudi Market Sector Indices: Dynamic Linkages
Abstract: The purpose of this study is to examine the causal relationship between the Saudi Stock Market Index (TASI) and sectoral indices from 2016 to 2020. The primary Saudi market index and the available data indices for 19 out of 21 sectors were used to extract the study’s data. The Granger causality test, the unit root test, and multiple regression tests were used to analyze the study hypotheses. The study demonstrates that all index series were stationary at level I (zero), and the findings also demonstrate that there were both bidirectional and unidirectional causal relationships between TASI and sectoral indices, demonstrating that TASI serves as an accurate mirror of all changes that take place in the Saudi stock market.
Keywords: TASI; unit root; granger causality; sectoral indices
Paper Quality: SCOPUS / Web of Science Level Research Paper
Subject: Economics
Writer Experience: 20+ Years
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