Examining the causal relationship between the Saudi stock market (TASI) and Oil prices

Abstract

This study examines the existence of a causal relationship between the Saudi stock
market and Oil prices (Brent oil, WTI crude oil, OPEC basket prices). Saudi Arabia is OPEC’s
largest oil producer. Using a daily dataset covering the period from 2 January 2019 to 30 March
2022, we find that most studies show oil price volatility transmits to stock market volatility. We
used the co-integration approach of Johansen-Juselius (1990) and the causality test ( Granger,
1969, Sims,19972). We found the existence of one-way direct Granger causality from the Saudi
stock markets (TASI) to oil prices (BRENT and OPEC basket price)