The effects of global factors on the Saudi Arabia equity market by firm size: Implications for risk management based on quantile analysis and frequency domain causality

IF 2.9 3区 经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2021-09-01 DOI:10.1016/j.mulfin.2020.100665
Faisal Alqahtani , Besma Hamdi , Shawkat Hammoudeh
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引用次数: 3

Abstract

We investigate the effect of major global factors—crude oil, gold, silver, the S&P 500 Index, the United States (US) Dollar Index and US Treasuries—and a psychological barrier on the Saudi Arabian equity market. We consider various firm sizes to account for different potential sensitivities to the global factors. We use the quantile approach, which covers the entire distribution of the dependent variable, unlike previous studies that focus on the conditional mean only. We conduct the frequency domain causality test to disentangle the contagion and interdependence effects. Overall, the quantile analysis results demonstrate that crude oil, the S&P 500 Index and silver positively affect the Saudi equity market, while the appreciation of the US Dollar Index negatively affects the market. US Treasuries asymmetrically influence the Saudi market—they have a positive effect in high market conditions (75th–90th quantiles), but a negative effect in low market conditions (10th–25th quantiles). The psychological barrier affects the Saudi market when the oil price commands or exceeds US$100 per barrel across different firm sizes. Our findings are sensitive to firm size and across quantiles, which offers vital implications for investors, market participants and policymakers.

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全球因素对沙特阿拉伯股票市场的影响:基于分位数分析和频域因果关系的风险管理影响
我们研究了原油、黄金、白银、标准普尔500指数、美元指数和美国国债等全球主要因素的影响,以及沙特阿拉伯股市的心理障碍。我们考虑不同的公司规模,以考虑对全球因素的不同潜在敏感性。我们使用了分位数方法,它涵盖了因变量的整个分布,而不像以前的研究只关注条件均值。我们进行频域因果关系检验,以解开传染和相互依赖效应。总体而言,分位数分析结果表明,原油、标普500指数和白银对沙特股市有正向影响,而美元指数的升值对市场有负向影响。美国国债对沙特市场的影响是不对称的——在高市场条件下(第75 - 90分位数)有积极影响,但在低市场条件下(第10 - 25分位数)有负面影响。当油价在不同规模的公司中达到或超过每桶100美元时,这一心理障碍就会影响沙特市场。我们的研究结果对公司规模和分位数敏感,这对投资者、市场参与者和政策制定者具有重要意义。
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来源期刊
CiteScore
7.30
自引率
4.80%
发文量
25
审稿时长
30 days
期刊介绍: International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.
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