Impact of shocks oil prices on the stock market

This research investigatesthe reactionof Saudi Arabia stock market to changes in the prices of crude oil. Considering the non-linear relationship in the stock market to determine the asymmetric response in the result of positive and negative changes in crude oil by applying NARDL model.The study utilizes crude oil weekly price (the OPEC crude Basket price), and Saudi stock index TASI expressed in the US dollar, in weekly period basisstarting at January 1995 until December 2018. The empirical analysis outcomes show that the Saudi Arabia stock market (index TASI) is affected by the shock's crude oil pricein the long-term. Also, the Saudi Arabia stock market and shocks crude oil price show asymmetric cointegration. The research is significant for the Government of Saudi Arabia, as an OPEC policy maker, where fluctuations in crude oil prices affect its overall economy and financial markets. In addition to researchers, regulators and participants in the Saudi stock market will find this research useful in order to predict the movement of shares and the expected returns from them.