THE INTER-RELATIONSHIP BETWEEN COMMODITY ENERGY PRICES AND STOCK MARKET VOLATILITY IN SAUDI-ARABIA

  • Manal Alsufyani
  • Tamat Sarmidi

Abstract

Background and Purpose: The present study examines the inter-relationship that exists between commodity energy price as well as stock market volatility in Saudi-Arabia. The focus of the study is to test if changes in commodities energy prices (oil related) cause significant changes in the stock market volatility of Saudi Arabia.

 

Methodology: This study made use of a generalized autoregressive conditional heteroscedasticity model which has exogenous variables (GARCH-X), thus able to employ the commodity energy price inform of an exogenous so as to test the conditional variance of the Saudi-Arabia stock market return.

 

Findings: The findings from the estimated model provide evidence that only the ARCH and GARCH parameters are significant while the exogenous variables are insignificant. It is concluded that other factors affect the volatility of the Saudi-Arabia stock market, but not the commodity energy price.

 

Contributions: This study recommends that, policy makers, investors, and regulators should give emphasis on macro-economic variables and volatility interdependence with other correlated markets, especially during energy price shock that affected the volatility of Saudi-Arabia stock market. 

 

Keywords: Energy price, GARCH-X, Saudi Arabia, stock market, volatility.

 

Cite as: Alsufyani, M., & Sarmidi, T. (2020). The inter-relationship between commodity energy prices and stock market volatility in Saudi-Arabia. Journal of Nusantara Studies, 5(1), 270-293. http://dx.doi.org/10.24200/jonus.vol5iss1pp270-293

Author Biographies

Manal Alsufyani

Faculty of Economic & Management, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor, Malaysia.

Tamat Sarmidi

Faculty of Economic & Management, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor, Malaysia.

Published
2020-01-30
How to Cite
Alsufyani , M., & Sarmidi, T. (2020). THE INTER-RELATIONSHIP BETWEEN COMMODITY ENERGY PRICES AND STOCK MARKET VOLATILITY IN SAUDI-ARABIA. Journal of Nusantara Studies (JONUS), 5(1), 270-293. https://doi.org/10.24200/jonus.vol5iss1pp270-293