Description:
This study aims to answer empirically the most frequently asked questions about the spillovers and predictability for the Saudi-other G20 stock markets nexus. The mixed-frequency-quantile-based approaches are used to measure the dependence between the time-series. The results reveal substantial heterogeneity in the co-movement between contemporaneous returns, implying different efficiencies. This evidence exists in the long-run and under bearish market conditions. It also shows a great resistance to spillover effects in the short-run, implying no-direct spillover channel for the Saudi and other G20 stock markets. However, the co-movement among the lagged returns, is more pronounced in the short-run among major importing- and exporting- oil countries and the Saudi Arabia. These results imply that the 2015-economic openness decision, along with other economic factors (hydrocarbon wealth, monetary policy, etc.), has increased the integration of the Saudi stock market at the global level and improved its predictability, thus reducing its diversification sphere