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https://doi.org/10.1016/j.jbankfin.2009.01.008

has been cited by the following article:

• TITLE: Capital Market Liberalization: Effect of Foreign Investors on Saudi Stock Market Performance

  AUTHORS: Abeer Faleh H. Almutiri

  KEYWORDS: Saudi Stock Market, Foreign Investors, Unit Root Test, Structural Break, Co-Integration, Granger Causality

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.2, May 18, 2020

  ABSTRACT: This study aims to determine if a cause exists between foreign investors BUY and SELL and the Saudi stock market performance. The dependent variable is Saudi stock index represented by INDEX while the independent variables are buying for foreign investors, selling for foreign investors namely BUY and SELL. The research period starts from January 2008 to December 2018. Unit root tests with structural breaks based on Augmented Dickey-Fuller unit root test and Zivot Andrew unit root test, Co-integration analysis, and Granger causality tests were used to test 4 hypotheses stating no effect on Saudi stock market of foreign buy and sell. Results indicate the importance of foreign investors BUY and SELL to explain stock market movements. The study will guide Saudi policymakers, analysts, and financial institutions to benefit from the clear link between investors selling and buying and Saudi stock performance paving the way for Wise policies.