This study examines whether there is a causal relationship
between Saudi stock market and US stock markets indices, Saudi Arabia is America’s
leading trading partner in the world, The most commonly used indices US are Dow
Jones Industrial Average and S&P 500, the stated indices are taken for
study. There are several methods have been used to examine the existence of
relationship. However, the Johansen approach to integration is considered a
more reliable method than other conventional integration approaches, Johansen
approach is more robust and performs well for large sample size, the results
show that the null hypothesis of no relationship cannot be accepted. This
suggests the existence of a long-run relationship between SAUDI and US Stock
markets.
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