This study examines the dynamic interactions between the Tadawul All Share Index (TASI), key domestic macroeconomic variables, and international oil prices. Using monthly data from January 2010 to March 2025, cointegration tests, vector error correction modelling (VECM), and Bai–Perron multiple structural break tests are employed to capture both short-run dynamics and long-run equilibrium relationships. The analysis distinguishes between pre- and post-2016 periods to evaluate the evolving influence of macroeconomic and oil market factors. Results reveal a significant long-run cointegrating relationship among TASI, oil prices, and macroeconomic indicators. A major structural break is identified around 2016, coinciding with Vision 2030 implementation, where stock market sensitivity to oil prices declines notably. Post-2016, diversification policies reduce oil dependency while monetary factors gain influence. These findings highlight Saudi Arabia’s evolving financial resilience and provide important implications for policymakers, investors, and risk managers in resource-dependent emerging economies.
Ihsen Abid (Sat,) studied this question.