Examining Causal Relationship between Saudi Stock Market (TASI) and US Stock Markets Indices

Full Article - PDF

Published: 2020-01-15

Page: 1-9

Sadouni Mohammed *

Department of Economic, Tahri Mohammed University, P.O.Box 417, Bechar, Algeria.

Mazeri Abdalhafid

Department of Economic, Tahri Mohammed University, P.O.Box 417, Bechar, Algeria.

Boudjemil Ahmed

Department of Economic, Morsli Abdallah University, Ouade Merzouk 4200, Tipaza, Algeria.

*Author to whom correspondence should be addressed.


This study examines whether there is a causal relationship between Saudi stock market and US stock markets indices, Saudi Arabia is America’s leading trading partner in the world, The most commonly used indices US are Dow Jones Industrial Average and S&P 500, the stated indices are taken for study. There are several methods have been used to examine the existence of relationship. However, the Johansen approach to integration is considered a more reliable method than other conventional integration approaches, Johansen approach is more robust and performs well for large sample size, the results show that the null hypothesis of no relationship cannot be accepted. This suggests the existence of a long-run relationship between SAUDI and US Stock markets.

Keywords: Stock market integration, cointegration test, causality test, TASI, US stock markets indices.

How to Cite

Mohammed, S., Abdalhafid, M., & Ahmed, B. (2020). Examining Causal Relationship between Saudi Stock Market (TASI) and US Stock Markets Indices. Asian Journal of Economics, Finance and Management, 2(1), 1–9. Retrieved from https://globalpresshub.com/index.php/AJEFM/article/view/799


Download data is not yet available.


Mohammed Ziaur, Musa Ahmed Hazazi. Examining linckages between Saudi Stock Market (TASI) and selected stock markets indices. International Journal of Financial Research. 2014;5(4):196-197.

Grubel HG. Internationally diversified portfolios: Welfare gains and capital flows. American Economic Review. 1968;1299-14.

Hillard JE. The relationship between equity indices on world exchanges. Journal of Finance. 1979;34(1):103-14.

Stulz R. A model of international assets pricing. Journal of Financial Economics. 1981;9:383-406.

Philippe J, Schwartz E. Integration vs, segmentation in the Canadian stock market. Journal of Finance. 1986;41:603-616.

Fratzscher M. Financial market integration in Europe: On the effect of EMU on stock markets. International Journal of Financial and Economic. 2002;7:165-193.

Chooudhry T, Lin L, Peng K. Common stochastic trends among far East stock prices: Effects of the Asian financial crisis. International Review of Financial Analysis. 2007;16:242-261.

Massih R, Mansur M. Long and short term dynamic causal transmission amongst international stock markets. Journal of International Money and Finance. 2002;20:563-597.

Von Fucrstenberg M, Jeon N. International stock price movements: Links and messages. Broockings Paper on Economic Activity. 1989;1:125-179.

Kearney C, Lucey BM. International equity market integration: Theory evidence and implications. International Review of Financial Analysis. 2002;20:571-583.

Mohamad B, Wael Al-Rashed. Testing the existence of integration; Kuwait and Jordan financial markets. International Journal of Economics, Finance and Management Sciences. 2013;1(2):89-94.

Solink B. An equilibrium model of the international capital market. Journal of Economic Theory. 1974;8:500-524.

Adler M, Dumas B. International portfolio selection and corporate Finance: A synthesis. Journal of Finance. 1983;46:925-984.

Buckberg E. Emerging stock markets and international assset pricing. The Worled Bank Economic Review. 1995;9:51-74.

Azman S. Financial integration and the ASEAN-5 equity markets. Applied Economics. 2002;34:2283-2289.

Kasa K. Common stochastic trends in international stock markets. Journal of Monetary Economics. 1992;29:95-124.

Johansen S, Juselius K. Maximum likehood estimation and inference on cointegration –with application to the demand for money. Oxford Bulletin of Economics and Statistics. 1990;52:169-210.

Darrat F, Elkhal K, Hakim R. On the integration of emerging stock markets in the Middle East. Journal of Economic Devlopment. 2000;25:119-129.

Neaime S. Liberalization and financial integration of MENA stock markets. A Paper Prepared at the ERF’s 9th Annual Conference on Finance and Banking, UAE; 2002.

Marashdeh H. Financial integration os the MENA emerging stock markets. University of Wollongong Australia; 2005.

Febian E, Herwany A. Co-integration and causality among Jakarta stock excange, Singapore stock exchange and Kuala Lumpur stock exchange. MPRA Paper. 2007;9637.

Yang J, Kolar, Insik M. Stock market integration and financial crisis: The case of Asia. Applied Financial Economics. 2003;13:477-486.

Abraham A, Seyyed F, Al-Elg A. Analysis of diversification benefit of investing in the emerging Gulf equity markets. Managerial Finance. 2001;27:47–57.

AL-Khazali O, Darrat A, Mohsen S. Intra-regional integration of GCC stock markets: The role of markets liberalization. Applied Financial Economics. 2006;16(17):1265-1272.

Alkulaib Y, Najad M, Mashayekh A. Dynamic linckages among equity markets in the Middle East and North Africa Countries. Journal of Multinational Financial Mangement. 2009;19:43-53.

Granger CWJ. Developments in the study of cointegreted economic variables. Oxford Bulletin of Economics and Statistics. 1986;48:213-228.

Engle RF, Granger CWJ. Co-integration and error correction repreentation, estimation and testing. Economitrica. 1987;55:176-251.

Johansen S. Stastistical analysis of co_integrating vectors. Journal of Economic Dynamics and Control. 1988;12:231-254.