Abstract
This study aims to test the causal relationship between Saudi stock market index (TASI) and sectoral indices throughout the period from 2016–2020. The study data were extracted through the main index of the Saudi market and the indices of the available data of 19 sectors out of 21 sectors. The unit root test was used along with the Granger causality test, in addition to multiple regression tests in order to analyze the study hypotheses. The study shows that all index series were stationary at the zero level I (0), and the results also show that there were bidirectional and unidirectional causal relationships between TASI and sectoral indices, and that TASI effectively mirrors all the changes that occur in the Saudi stock market.
Highlights
The only index that both affects and is affected by the general index is pharma, biotech and life science. Those results indicate that the null Hypothesis H3 can be rejected, which states that TASI returns do not cause sectoral returns. These results indicate that the null Hypothesis H4 can be rejected, which states that sectoral index returns do not cause TASI returns
Saudi stock market and determining whether the TASI is an effective tool for expressing the changes taking place in the market and in market sectors
The results showed that there are bidirectional and unidirectional causal relationships between TASI and the sectoral indices
Summary
Publisher’s Note: MDPI stays neutral with regard to jurisdictional claims in published maps and institutional affiliations
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
