Document Details

Document Type : Thesis 
Document Title :
The Relationship between the General Index of Prices of Local Shares and the Macroeconomic Variables in the Kingdom of Saudi Arabia: An Econometric Model
العلاقة بين المؤشر العام لأسعار الأسهم المحلية والمتغيرات الاقتصادية الكلية في المملكة العربية السعودية: نموذج قياسي
 
Subject : Faculty of Economics and Administration 
Document Language : Arabic 
Abstract : The aim of this study is to analyze the relationship between the general price index of the local shares in the Kingdom of Saudi Arabia and macroeconomic factors namely; interest rates, oil prices, unemployment rate, inflation rate, and the global financial crisis during the period starting 1999 till 2009. The researcher used quarterly data from 1:1999 to 2:2009; as she also used modern econometric methods to analyze the time series of the study variables which include time series stability tests, Cointegretion, and error correction model. The results of time series stability tests which was obtained by using Dickey-Fuller Test, Augmented Dickey-Fuller Test, and Phillips-Perron Test shown that the time series are stationary at the initial differences which indicates that the time series of the variables in the study are first-class integrated I (1). When the cointegration examined by Joehansen-Jusellus Test, it was found that there is a long-term equilibrium relationship between the study variables. The results of estimating the long-term regression relationship (cointegration relationship) revealed that non-significant effect of inflation rate and significant effect of interest rates, oil prices, the rate of unemployment, and the global financial crisis. Results also revealed that this model suffers from the possibility of an autocorrelation problem, although the whole model is statistically significant and even with the large explanatory power of the model . Yet the sign of interest rate and the rate of inflation are not consistent with the hypotheses of the study. The majority of the results of estimating the error correction model consistent with the expectations of the study, as it shown the negative impact of both interest rates and global financial crisis on the general price index of local share and it also shown the positive impact of the unemployment rate and oil prices on the general price index despite that unemployment rate is not statistically significant. The results shown that the general price index affected by some macroeconomic variables of the study; and it is moving towards the correct value of the balance every three months at a rate of 35.03% of the remaining imbalances in the past. Based on these results the researcher suggests more than one recommendation. The most important ones are: the need to educate dealers in the stock market of the importance of macroeconomic variables in influencing the performance of the stock market through various media, the importance of adopting monetary policy that help to maintain price stability in the stock market locally, and to take policies to reduce the impact of economic crises and financial shocks. 
Supervisor : dr.Mohammed Najeb Khayat 
Thesis Type : Master Thesis 
Publishing Year : 1432 AH
2011 AD 
Added Date : Saturday, July 2, 2011 

Researchers

Researcher Name (Arabic)Researcher Name (English)Researcher TypeDr GradeEmail
مشاعل عبدالمعين القليطيAlQolaity, Mashael AbdulmoinResearcherMaster 

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