Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis

Mohanty, Sunil; Onochie, Joseph I.; Alshehri, Abdulrahman F.

doi:10.1007/s11156-017-0682-5

Cited by 11 publications

(6 citation statements)

References 67 publications

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“…In this regards due to high inflation, the savings patterns decline which negatively influences on stock market (Maghyereh & Al-Kandari, 2007). Moreover, it has also been posited an empirical study that due to inflation the economic productivity reduces based on the rationale that higher prices of the commodity lead to high cost of production and therefore economic production declines (Mohanty et al, 2018); thus, the results of the present study found consistent with numerous past evidence (Hu et al, 2018;Ji et al, 2018).…”

Section: Conclusion and Discussionsupporting

confidence: 88%

“…diture. The role of the government's fiscal policy is determined by the fluctuations in oil prices, which is transmitted to the entire national economy (Mohanty, Onochie, & Alshehri, 2018). Arfaoui and Ben Rejeb (2017) focused on the US economy and addressed one of the most imperative works on the effect of oil price over economy.…”

Section: Journal Of Finance and Economics Researchmentioning

confidence: 99%

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Impact of Oil Prices on Stock Market Performance: Evidence from Top Oil Importing Countries

Ali¹,

Iraqi²,

Khan³

2019

j.financ.econ.res

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This study aims to analyze the impact of oil price on stock market performance in top oil importing countries. We used balanced panel data over a sample period of 1995 to 2017 with annual frequency. The sample data was gathered from World Development Indicator (WDI), Global Financial Indicator (GFDI) and West Texas Intermediate (WTI). The sample data were analyzed using regression test under the assumptions of Hausman test. Findings obtained from the fixed effect model suggest that oil price has a negative and insignificant impact on stock market. Similarly, the exchange rate also showed negative and insignificant impact while inflation showed negative but significant impact on stock market. Moreover, GDP showed a positive and significant influence on stock market. Overall, this study recommends that the policy makers should anticipate the changes in oil prices in order to improve the health of stock market.

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Section: Conclusion and Discussionsupporting

confidence: 88%

Section: Journal Of Finance and Economics Researchmentioning

confidence: 99%

Impact of Oil Prices on Stock Market Performance: Evidence from Top Oil Importing Countries

Ali¹,

Iraqi²,

Khan³

2019

j.financ.econ.res

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“…In fact, to our knowledge, there is only a single study probing the effect of stock market fluctuations on the demand for money in Saudi Arabia (Al Rasasi et al, 2019). Other than this study, most of the existing literature attempts to assess the impact of macroeconomic developments on the stock market (Alshogeathri, 2011;Kalyanaraman & Al Tuwajri, 2014;Mohanty et al, 2018). The gap in the literature motivates us to explore the causal relationship between stock market and real economic activity in Saudi Arabia.…”

Section: Literature Reviewmentioning

confidence: 99%

Does Stock Market Performance Affect Economic Growth? Empirical Evidence from Saudi Arabia

Rasasi¹,

Alsabban²,

Alarfaj³

2019

IJEF

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This research paper investigates the impact of stock prices on real economic activity in the Saudi Arabian economy. We utilize various econometric techniques -Johansen and Juselius's (1990) cointegration tests and Granger's (1969) causality testto assess such a relationship, based on quarterly observations spanning the period from the first quarter of 2010 to the fourth quarter of 2018. Our empirical evidence indicates the presence of a significant cointegrating relationship between the two variables being examined; in other words, stock prices have a significant impact on real economic growth. Specifically, the estimated long-run relationship reveals that a 1 percent increase in stock prices would boost economic growth by 0.32 percent. In addition, the error correction model suggests that when the economy deviates from its steady state condition, it needs about a year and a half to return to its equilibrium condition. Lastly, this paper applies the most common Granger causality test, which confirms the essential role of stock prices in predicting changes in economic growth.

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“…Similarly, this negative impact has been concluded in some emerging economies such as the BRICS economies, Mexico, Malaysia, Thailand, Chile, and Indonesia (Raza et al, 2016). In contrast, some studies conclude a positive effect of oil prices on stock markets, mainly in net-oil exporting countries (e.g., Marashdeh and Afandi, 2017;Awartani et al, 2018;Mohanty et al, 2018;Banerjee et al, 2023). In fact, it is argued that the relationship between oil and stock markets is positive for oilexporters and negative for oil-importers (Wang et al, 2013) Research on the relationship between monetary policy and financial markets has experienced a noticeable surge in the last two decades, especially for the developed countries.…”

Section: Literature Reviewmentioning

confidence: 90%

Oil Shocks, Monetary Policy, and Stock Returns: A Case of Oil-based Economy

Alharbi

2023

IJEEP

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This paper investigates the dynamic effects of oil price shocks on the Saudi stock market. It differs from previous work by examining the role of monetary transmission of oil shocks to stock returns via interest rate and credit channels. A Structural Vector Autoregressive model (SVAR) is used to trace the impacts of the underlying shocks. The results provide robust evidence in favor of a positive relationship between oil price volatility and stock market returns, which is aligned with the prevailing view on the oil impact in net oil-exporting countries. Variance decomposition results indicate that oil shocks are the key source of fluctuations in stock markets as they explain more than 25% of stock return variations. On the other hand, a weak over-all effect of monetary policy is concluded by this study using the two monetary policy channels. Unlike interest rate, credit channel is found to be relatively effective in the monetary policy transmission to stock market. The response of stock returns showed a positive significant impact of credit shocks, but a negligible effect of interest rate shocks. The outcome of this paper is considered plausible in an oil-based economy with fixed-exchange rate regime.

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Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis

Cited by 11 publications

References 67 publications

Impact of Oil Prices on Stock Market Performance: Evidence from Top Oil Importing Countries

Impact of Oil Prices on Stock Market Performance: Evidence from Top Oil Importing Countries

Does Stock Market Performance Affect Economic Growth? Empirical Evidence from Saudi Arabia

Oil Shocks, Monetary Policy, and Stock Returns: A Case of Oil-based Economy

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