The efficiency of the Saudi Capital Market from its weak - form during the Corona pandemic (COVID-19) "A comparative study between the business sectors listed in the Saudi Capital Market"

Abstract

The study aimed to identify the level of efficiency of the Saudi capital market and the business sectors included in it during the Corona pandemic, with a comparison between these sectors. The daily indices values of the capital market and the business sectors included in it were relied upon during the pandemic period from 2020 to 2022. The indicators were described through the arithmetic mean, standard deviation, and a graphical display of the trend graph for each indicator. To test the efficiency of the capital market and the sectors included in it, the Jarque – Bera test was used to test the Normality, the Run test to test the random walk of the indices values, and Augmented Dickey Fuller test (ADF) to test the stationary of the indices values series during the study period. The most important results of the study were the inefficiency of the weak form of the Saudi capital market and the sectors included in it during the pandemic period. The study also found that the sectors most affected by the pandemic are the transportation sector, the construction sector, public utilities, the entertainment sector, and the retail sector for luxury goods. While the sectors least affected by the pandemic are the pharmaceutical sector, health care, food, energy, and the telecommunications sector. The most important recommendations were that the individual investor should be careful when investing financially in business sectors that work in the field of entertainment and luxury goods in periods of natural crises, and it is preferable to invest in basic goods and services sectors, and the Capital Market Authority should educate investors on how financial investment is made in light of crises , while achieving high transparency, and fully providing data to investors so that no unusual returns or losses are achieved.