期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2019
卷号：9
期号：1
页码：193-196
语种：English
出版社：EconJournals
摘要：The main objective of this study is to know whether short and long run relationships exist between stock values in the Saudi market. For that purpose, the authors extracted daily stock value data from five distinct Saudi economic sectors. Using modern statistical techniques through MGARCH (DVEC) and error correction models, the authors estimated the stock return variances and concluded that stock values are correlated. On this basis, stocks were found to be stable and safe and detained larger effects on the rest of stocks (Rajhi, banking sector), some were unstable (Bahri, the national shipping carrier), some have moderate effects (Etisalate, telecommunication) and others have no effects such as Almarai (Food industries) and Sabic (petrochemicals). Overall, this study concludes that the Saudi market is stable and safe.
关键词：Error Correction Model; M GARCH-VEC; Saudi Market
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