INTEGRATION OF SAUDI STOCK MARKET WITH OTHER GCC STOCK MARKETS

Abstract

This study examines the integration of Saudi Stock Market with other GCC Stock Markets, because there are not many studies that have examined the integration between these markets. Hence it is felt important to understand the nature of integration between Saudi stock market and other GCC stock markets, Co-movement of Saudi stock market and other GCC stock markets, and also the impact of returns of GCC stock markets on returns of Saudi stock market. This study uses time monthly series data from Oct 2008 to Dec 2014. This study used regression analysis to test the hypothesized relationship between GCC Stock Markets and Saudi Stock Market. The test results of the model show significant relationship between returns on each GCC market and Saudi market in univariate analysis and only between Kuwaiti market and Saudi market in multivariate analysis.