Journal of Mathematical Finance

Volume 10, Issue 2 (May 2020)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 1.39  Citations  

Capital Market Liberalization: Effect of Foreign Investors on Saudi Stock Market Performance

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DOI: 10.4236/jmf.2020.102017    708 Downloads   2,271 Views  Citations

ABSTRACT

This study aims to determine if a cause exists between foreign investors BUY and SELL and the Saudi stock market performance. The dependent variable is Saudi stock index represented by INDEX while the independent variables are buying for foreign investors, selling for foreign investors namely BUY and SELL. The research period starts from January 2008 to December 2018. Unit root tests with structural breaks based on Augmented Dickey-Fuller unit root test and Zivot Andrew unit root test, Co-integration analysis, and Granger causality tests were used to test 4 hypotheses stating no effect on Saudi stock market of foreign buy and sell. Results indicate the importance of foreign investors BUY and SELL to explain stock market movements. The study will guide Saudi policymakers, analysts, and financial institutions to benefit from the clear link between investors selling and buying and Saudi stock performance paving the way for Wise policies.

Share and Cite:

Almutiri, A. (2020) Capital Market Liberalization: Effect of Foreign Investors on Saudi Stock Market Performance. Journal of Mathematical Finance, 10, 267-286. doi: 10.4236/jmf.2020.102017.

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