The Uncertainty Risk of Oil and Ramadan Season on Stock Return and Volatility: Empirical Findings from Saudi Arabia
Journal Title: International Journal of Business and Management Invention - Year 2018, Vol 7, Issue 5
Abstract
This study focuses on the influence of the Oil pricesand Ramadan season on the Saudi stock market return. Stock returns data of the Tadawul All-Shares Index (TASI) and several sector indices from October 1998 to February 2018 are used to examine the impact of the Oil prices and Ramadan seasonon the return and volatility of the stock indices. The FIAPARCH-BBM found to be the best fitting model for Saudi stock index return; the result shows a negative and significant relationship between oil price and stock market return in Saudi Arabia. Nevertheless, Ramadan effect in stock market volatility is not statistically significant. Investors can use the findings of the study for making proper investment decisions and achieving superior risk adjusted returns and to gain better portfolio diversification benefits.
Authors and Affiliations
Dr. Hashem A. AlNemer, Dr. Heitham Al- Hajieh
Keywords
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