Document Details

Document Type : Article In Journal 
Document Title :
Monetary Policy and Stock Market Efficiency: Empirical Evidence from the Saudi Stock Market
السياسة النقدية وكفاءة سوق الأسهم : دليل قياسي من سوق الأسهم السعودية
 
Subject : Economics 
Document Language : Arabic 
Abstract : The objective of this study is to examine the efficiency of Saudi stock market with respect to monetary policy. The study uses polynomial distributed lags (PDL) and Box-Jenkins (ARIMA) models to determine the components for anticipated and unanticipated monetary policy. The study, also, examines the statistical properties of the time series of the variables. It was found that all variables are difference stationary. Study results are sensitive to the definition of money and to the expectation generating process. Using M1 and M2 and PDL, it was found that both anticipated and unanticipated monetary policy affect market return. Using M3 and PDL or M2 and ARIMA shows that only unanticipated monetary policy has an effect on market return. Results using sectoral returns show mixed results. Based on these results, it can be said that the Saudi stock market is inefficient with respect to monetary policy except for the banking and the industrial sectors. This warrants further investigation into the nature and causes of these differences. 
ISSN : 1319-0997 
Journal Name : Economics and Administration Journal 
Volume : 11 
Issue Number : 1 
Publishing Year : 1418 AH
1998 AD 
Article Type : Article 
Added Date : Sunday, October 11, 2009 

Researchers

Researcher Name (Arabic)Researcher Name (English)Researcher TypeDr GradeEmail
حمد سليمان البازعيHAMAD S. ALBAZAI Researcher  
علي زاوي ديابيALI Z. DIABIResearcher  

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