Current COVID-19 Impact on Saudi Stock Market: Evidence from An ARDL Model

12 Pages Posted: 29 Jun 2020

See all articles by Maroua Chaouachi

Maroua Chaouachi

Higher Institute of Management of Tunis

Chaouachi Slim

University of Tunis

Date Written: June 26, 2020

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.

Keywords: Stock Market, COVID-19, ARDL, Bounds Test, KSA

JEL Classification: Classification: I10, G15, C32, O53

Suggested Citation

Chaouachi, Maroua and Slim, Chaouachi, Current COVID-19 Impact on Saudi Stock Market: Evidence from An ARDL Model (June 26, 2020). Available at SSRN: https://ssrn.com/abstract=3636333 or http://dx.doi.org/10.2139/ssrn.3636333

Maroua Chaouachi (Contact Author)

Higher Institute of Management of Tunis ( email )

45 Rue de la Liberte, Cite Bouchoucha
Bardo, Tunis 2000
Tunisia
0021655603823 (Phone)
2010 (Fax)

Chaouachi Slim

University of Tunis ( email )

92, Rue 9 Avril
Tunis, 1938 -1007
Tunisia

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