Residual based test for cointegration between oil prices and stock prices in saudi Arabia in the presence of structural break
Residual based test for cointegration between oil prices and stock prices in saudi Arabia in the presence of structural break
Time series analysis is applied to monthly data from October 2008 to October 2013. Application of Bai-Perron test confirms the existence of at least one structural break in both stock prices and oil prices data. Since both data series are I(1), conventional Johansen test and Gregory-Hansen test that takes into consideration one endogenous break are applied to examine if oil prices and stock prices are related. Johansen test rules out cointegration between oil prices and stock prices. However, Gr