Saudi Stock Market reaction to Different Major Events
This study implements event study analyses to investigate participants’ reactions to nine different, important events impacting the Saudi Arabian stock market. It analyzes the dynamics of security prices in the Saudi Arabian stock market during the first five days surrounding the event dates. I tested the significance of abnormal returns and cumulative abnormal returns of all the 20 sectors during the (-5,+5) days event window. I found that the market participants react both positively and negatively to different events examined in the study, which was reflected in both the positive and negative cumulative average abnormal returns. The results could be a crucial contribution to the literature, which lacks empirical analyses that study financial market responses to different important events in Saudi Arabia. The results also provide some insights about market reaction in Saudi Arabia during different atypical situations and could be an important toolkit for investors in different sectors of the Saudi stock market and allow them to identify when to hedge risk.
AAR CAAR, abnormal return, Event study, Saudi Stock Market, Economics, Finance
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