Asymmetric Linkages of Oil Prices, Money Supply, and TASI on Sectoral Stock Prices in Saudi Arabia: A Non-Linear ARDL Approach

Autor: Md Fouad Bin Amin, Mohd Ziaur Rehman
Jazyk: angličtina
Rok vydání: 2022
Předmět:
Zdroj: SAGE Open, Vol 12 (2022)
Druh dokumentu: article
ISSN: 2158-2440
21582440
DOI: 10.1177/21582440211071110
Popis: This study examines the asymmetric effects of oil prices, money supply, and the Tadawul All Share Index (TASI) on sectoral stock prices in Saudi Arabia. By applying a nonlinear auto-regressive distributive lag (NARDL) approach to monthly data spanning from January 2007 to December 2016, we found that the positive shocks of oil prices were more than the negative ones in the building and construction, energy and utilities, and petrochemical sectors, while higher oil prices adversely influenced the stock price of the bank and financial service sector. We identified the long-run and short-run asymmetric relationships of the Saudi stock market development on the stock prices of bank and financial services, energy and utilities, and the petrochemical sector and only a long-running asymmetric relationship with the building and construction sector. We also found the absence of long-run and short-run asymmetric impact of money supply on three sectors, namely, building and construction, energy and utilities, and the petrochemical sector except for the bank and financial service sector where only a long-running asymmetric relation was observed. These findings are appropriate for investors and portfolio managers to make judicious investment decisions. Policymakers should diversify their economic sectors apart from the oil dependencies to achieve the Vision 2030.
Databáze: Directory of Open Access Journals
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