SAUDI STOCK MARKET, ENERGY PRICES AND GOLD PRICES: AN EMPIRICAL STUDY OF THEIR DYNAMIC RELATIONSHIP

Abstract

This study aimed to analyze the relationships among the Saudi stock market, energy prices, and gold prices using daily data for the period from January, 2004, to April, 2015. In this study, the Saudi stock market, oil prices, natural gas prices, and gold prices are analyzed using a Vector Autoregression Model (VAR) and Causality analysis for Saudi Arabia. The results of the VAR suggest that oil and gold prices are significantly affecting the Saudi stock market. The oil prices affect positively and gold prices affecting negatively on Saudi stock market. Therefore, the results of the VAR granger causality suggest that oil and gold prices cause the Saudi stock market. Hence, the results confirm that there is a dynamic relationship between the Saudi stock market, oil prices, and gold prices. These findings may be valuable for investors and policymakers in understanding the dynamic relationship between the Saudi stock market, energy prices, and gold prices.