The impact of oil and global markets on Saudi stock market predictability: A machine learning approach

Abdou, Hussein A.; Elamer, Ahmed A.; Abedin, Mohammad Zoynul; Ibrahim, Bassam A.

doi:10.1016/j.eneco.2024.107416

Cited by 8 publications

(1 citation statement)

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“…At the time of the war and pandemic, many reports in the popular press predicted that the pandemic and war would have a tremendous impact on the economies of severely affected countries. The dependence between the stock market and cryptocurrencies increases aftershocks in pandemics and wars, so it becomes higher when the stock market is under stress (Abdou et al, 2024). Given the mixed results of the above studies and the significant role of the Indonesia stock exchange composite in Indonesia, there is a need to understand better the coronavirus cases and the exchange rates influencing its development.…”

Section: Introductionmentioning

confidence: 99%

Factors Impact of the Stock Market Performance During the Covid-19 Crisis

Goh,

Henry,

Erika

2024

Etikonomi

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Research originality: This research adds the exchange rate variable and the use of the Vector Autoregressive (VAR) model that can add to the financial literature.Research Objectives: This study examines how macroeconomics can impact a business during a crisis. The stock market has associated access with new COVID-19 cases and new deaths in Indonesia. During the pandemic, the exchange rate is critical, so this study observes the exchange rate of IDR against USD. This paper investigates the relationship between new cases, new deaths, and the exchange rate with the stock market index.Research Methods: The study retrieves the daily data from March 2, 2020, to June 30, 2022, from Our World in Data, Indonesia's stock exchange, and Indonesia's Statistic Central Bureau. We have used the ADF, Vector Autoregressive (VAR) Model, impulse response function, and the Toda Yamamoto causality test. Empirical Results: The findings reveal a significant negative impact of new COVID-19 cases, new deaths, and exchange rates on the stock market. Toda Yamamoto's causality analysis reveals substantial evidence of unidirectional daily growth of new COVID-19 deaths in the stock market and a bidirectional causality of new COVID-19 cases and new COVID-19 deaths.Implications: The policy implications of this study are to stabilize markets, impact overall financial stability, support entrepreneurship, and develop a competitive market environment that can encourage innovation. JEL Classification: C5, E31, F31How to Cite:Goh, T. S., Henry, H., & Erika, E. (2024). Factors Impact of the Stock Market Performance During the Covid-19 Crisis. Etikonomi, 23(1), 47 – 62. https://doi.org/10.15408/etk.v23i1.32005

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Section: Introductionmentioning

confidence: 99%