Dynamic inter-relationship among commodities energy rate and stock market volatility in Saudi Arabia

Manal S. Alsufyani, Tamat Sarmidi

Research output: Contribution to journalArticle

Abstract

The paper investigated the correlation and volatility relationship among commodity energy rate and the stock exchange in Saud-Arabia for the period April 2007-December 2017 using the monthly time series data. We utilized the dynamic conditional correlation DCC that enable us to measure both the correlation and volatility parameters of the variables of the study. The result from the estimated model provided evidence of a positive, significant and robust relationship among the commodity energy rate and the stock market. The result further showed evidence of time varying correlation. Finally, we found evidence of volatility interdepended between the variables. The study concluded that global and domestic level, commodity energy price affects the financial and macroeconomic variables of Saudi Arabia, especially the stock market. Therefore, we recommended that any economic policy or regulation should include hedging the commodity energy price due to their volatile nature to reduce their influence on the market and the economy at large.

Original languageEnglish
Pages (from-to)372-379
Number of pages8
JournalInternational Journal of Recent Technology and Engineering
Volume8
Issue number2 Special Issue
Publication statusPublished - 1 Jul 2019

Fingerprint

Time series
Economics
Stock market volatility
Interrelationship
Saudi Arabia
Energy
Commodities
Financial markets
Energy prices
Stock market
Hedging
Economic regulation
Macroeconomic variables
Time series data
Economic policy
Financial variables
Time-varying correlations
Dynamic conditional correlation
Stock exchange

Keywords

  • Correlation
  • DCC Model
  • Energy
  • Price
  • Saudi Arabia
  • Volatility

ASJC Scopus subject areas

  • Engineering(all)
  • Management of Technology and Innovation

Cite this

Dynamic inter-relationship among commodities energy rate and stock market volatility in Saudi Arabia. / Alsufyani, Manal S.; Sarmidi, Tamat.

In: International Journal of Recent Technology and Engineering, Vol. 8, No. 2 Special Issue, 01.07.2019, p. 372-379.

Research output: Contribution to journalArticle

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