{"id":782,"date":"2019-08-07T09:17:04","date_gmt":"2019-08-07T08:17:04","guid":{"rendered":"https:\/\/research.reading.ac.uk\/economics\/?post_type=tribe_events&p=782"},"modified":"2019-10-14T09:59:08","modified_gmt":"2019-10-14T08:59:08","slug":"exploring-the-relationship-between-macroeconomic-variables-and-saudi-stock-market-ruqayya-aljifri-economics-phd-candidate","status":"publish","type":"tribe_events","link":"https:\/\/research.reading.ac.uk\/economics\/event\/exploring-the-relationship-between-macroeconomic-variables-and-saudi-stock-market-ruqayya-aljifri-economics-phd-candidate\/","title":{"rendered":"Exploring the dynamic relationship between selected Macroeconomic Variables and the Saudi Stock Market via VECM — Ruqayya Aljifri (Economics PhD seminar)"},"content":{"rendered":"

Abstract:<\/strong><\/p>\n

This 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\u00a0Johansen cointegration test and a vector error correction\u00a0(VEC)\u00a0model 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).<\/p>\n","protected":false},"excerpt":{"rendered":"

Abstract: This 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…Read More ><\/a><\/p>\n","protected":false},"author":206,"featured_media":0,"template":"","meta":{"_acf_changed":false,"om_disable_all_campaigns":false,"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"_uf_show_specific_survey":0,"_uf_disable_surveys":false,"__cvm_playback_settings":[],"__cvm_video_id":"","_tribe_events_status":"","_tribe_events_status_reason":"","footnotes":""},"tags":[],"tribe_events_cat":[11],"coauthors":[25],"class_list":["post-782","tribe_events","type-tribe_events","status-publish","hentry","tribe_events_cat-phd-seminars","cat_phd-seminars"],"acf":[],"aioseo_notices":[],"yoast_head":"\nExploring the dynamic relationship between selected Macroeconomic Variables and the Saudi Stock Market via VECM - Ruqayya Aljifri (Economics PhD seminar) - Economics Research<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/research.reading.ac.uk\/economics\/event\/exploring-the-relationship-between-macroeconomic-variables-and-saudi-stock-market-ruqayya-aljifri-economics-phd-candidate\/\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Exploring the dynamic relationship between selected Macroeconomic Variables and the Saudi Stock Market via VECM - Ruqayya Aljifri (Economics PhD seminar) - Economics Research\" \/>\n<meta property=\"og:description\" content=\"Abstract: This study investigates the long-run relationships between the Saudi stock price index (TASI) and four macroeconomic variables; 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