Assessing the Impact of the COVID-19 Pandemic on the Saudi Stock Market’s Performance and Sustainability

Pub Date : 2023-10-01 DOI:10.14207/ejsd.2023.v12n3p364

Nadia Yusuf, Inass Salamah Ali

{"title":"Assessing the Impact of the COVID-19 Pandemic on the Saudi Stock Market’s Performance and Sustainability","authors":"Nadia Yusuf, Inass Salamah Ali","doi":"10.14207/ejsd.2023.v12n3p364","DOIUrl":null,"url":null,"abstract":"The research investigates the immediate impact of the COVID-19 pandemic on the Saudi Stock Exchange (Tadawul) by analyzing the Tadawul All Share Index (TASI). Relying on a robust quantitative methodology, the study involved de-seasonalizing daily TASI 'Close' values using a 7-day moving average and employing ARIMA modeling to examine time-series characteristics for periods before and after the first reported case of COVID-19 in Saudi Arabia on March 2, 2020. The study spanned 115 days, with 56 days before and 59 days after the outbreak, resulting in a total of 115 observations. Advanced statistical tests, including a two-sample t-test and effect size calculation (Cohen's d), were conducted to statistically validate the differences in market performance. The findings revealed a significant decrease in TASI performance post-COVID-19, with increased market volatility. This data aligns with global observations of market disruptions during the pandemic and contributes to the understanding of crisis-induced market behaviors. Finally, the obtained results offer valuable insights into the complexities of stock market responses to global health emergencies while further underscoring the importance of considering external factors in market dynamics. Keywords: Stock market; COVID-19; financial market; performance; Tadawul; mortality; Saudi Arabia","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14207/ejsd.2023.v12n3p364","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

Abstract

The research investigates the immediate impact of the COVID-19 pandemic on the Saudi Stock Exchange (Tadawul) by analyzing the Tadawul All Share Index (TASI). Relying on a robust quantitative methodology, the study involved de-seasonalizing daily TASI 'Close' values using a 7-day moving average and employing ARIMA modeling to examine time-series characteristics for periods before and after the first reported case of COVID-19 in Saudi Arabia on March 2, 2020. The study spanned 115 days, with 56 days before and 59 days after the outbreak, resulting in a total of 115 observations. Advanced statistical tests, including a two-sample t-test and effect size calculation (Cohen's d), were conducted to statistically validate the differences in market performance. The findings revealed a significant decrease in TASI performance post-COVID-19, with increased market volatility. This data aligns with global observations of market disruptions during the pandemic and contributes to the understanding of crisis-induced market behaviors. Finally, the obtained results offer valuable insights into the complexities of stock market responses to global health emergencies while further underscoring the importance of considering external factors in market dynamics. Keywords: Stock market; COVID-19; financial market; performance; Tadawul; mortality; Saudi Arabia

查看原文

评估 COVID-19 大流行病对沙特股市表现和可持续性的影响

本研究通过分析 Tadawul All Share Index (TASI)，调查 COVID-19 大流行病对沙特证券交易所（Tadawul）的直接影响。该研究采用稳健的定量方法，使用 7 天移动平均线对每日 TASI "收盘 "值进行去季节化处理，并使用 ARIMA 模型研究 2020 年 3 月 2 日沙特阿拉伯首次报告 COVID-19 病例之前和之后的时间序列特征。研究时间跨度为 115 天，其中疫情爆发前 56 天，疫情爆发后 59 天，共计 115 次观测。研究采用了先进的统计检验方法，包括双样本 t 检验和效应大小计算（Cohen's d），从统计学角度验证了市场表现的差异。结果显示，COVID-19 后 TASI 业绩大幅下降，市场波动加剧。这一数据与全球对大流行病期间市场混乱的观察结果一致，有助于理解危机引发的市场行为。最后，所获得的结果为了解股票市场应对全球卫生突发事件的复杂性提供了宝贵的见解，同时进一步强调了在市场动态中考虑外部因素的重要性。关键词股票市场；COVID-19；金融市场；表现；Tadawul；死亡率；沙特阿拉伯

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文