Current Covid-19 Impact On Saudi Stock Market: Evidence From An ARDL Model

Authors

  • Maroua Chaouachi High Institute of Management, University of Tunis, Tunisia
  • Slim Chaouachi High Institute of Management, University of Tunis, Tunisia

Keywords:

Stock Market, COVID-19, ARDL, Bounds test, KSA

Abstract

This paper investigates the effect of COVID-19 pandemic on stock market in KSA applying an Autoregressive Distributed Lag (ARDL) cointegration approach. More especially, we analyze the relationship between the natural logarithm of trading volume of Tadawull All shares index (TASI) and the natural logarithm of daily COVID-19 confirmed cases both in the short-run and the long-run. The bounds test for cointegration is carried out for daily series over the period from March 02, 2020 till May 20, 2020.Toda-Yamamoto causality test is implemented between variables. Our findings indicate that there is a negative impact of COVID-19 on stock market only in the long-run. Causality test reveals a unidirectional causality from COVID-19 prevalence’s measure to stock market. Robustness check seems to be conclusive.

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Published

2020-07-10

How to Cite

Chaouachi , M., & Chaouachi, S. (2020). Current Covid-19 Impact On Saudi Stock Market: Evidence From An ARDL Model. International Journal of Accounting, Finance, Auditing, Management and Economics, 1(1), 1–13. Retrieved from https://ijafame.org/index.php/ijafame/article/view/8

Issue

Vol. 1 No. 1 (2020)

Section

Articles

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