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X-WR-CALNAME:Economics Research
X-ORIGINAL-URL:https://research.reading.ac.uk/economics
X-WR-CALDESC:Events for Economics Research
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TZID:Europe/London
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TZOFFSETFROM:+0000
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DTSTART:20190331T010000
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DTSTART:20191027T010000
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DTSTART;TZID=Europe/London:20191017T130000
DTEND;TZID=Europe/London:20191017T140000
DTSTAMP:20260513T081644
CREATED:20190807T081704Z
LAST-MODIFIED:20191014T085908Z
UID:782-1571317200-1571320800@research.reading.ac.uk
SUMMARY:Exploring the dynamic relationship between selected Macroeconomic Variables and the Saudi Stock Market via VECM --- Ruqayya Aljifri (Economics PhD seminar)
DESCRIPTION:Abstract: \nThis study investigates the long-run relationships between the Saudi stock price index (TASI) and four macroeconomic variables; CPI (as a proxy of inflation)\, Money Supply (M2)\, IIP as a measure of GDP and S&P 500 as a measure of international stock market effects over the period 1988-2018. We observe that\, in the long run\, CPI and S&P 500 have a negative impact on the Saudi Price Index while M2 and IIP have a positive impact on the Saudi Price Index. The Johansen cointegration test and a vector error correction (VEC) model clarify that TASI is cointegrated with CPI\, Money Supply (M2)\, IIP and S&P 500\, which indicates the existence of the long-run equilibrium relationship among the variables included in the current study. In the long run\, the four macroeconomic variables in the system Granger-cause the Saudi Stock Price Index (TASI).
URL:https://research.reading.ac.uk/economics/event/exploring-the-relationship-between-macroeconomic-variables-and-saudi-stock-market-ruqayya-aljifri-economics-phd-candidate/
LOCATION:Edith Morley 175
CATEGORIES:PhD Seminars
ORGANIZER;CN="Carl%20Singleton":MAILTO:c.a.singleton@reading.ac.uk
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