The Vision 2030 Decoupling Effect: An Asymmetric NARDL Analysis of Short-Run Behavioral Panics vs. Long-Run Structural Independence in Saudi Equities

Abstract

This study is inspired by the Vision 2030 initiative to investigate the decoupling of the Saudi Stock Exchange from oil price shocks. Using the NARDL model, the research explores the effects of shocks to the Brent Crude oil price on the Energy, Finance, and Telecom sectors, including Aramco, Al Rajhi, and STC, using daily data from 2019 to 2026. The results verify the structural independence in the context of Vision 2030, as all series are individually integrated of order I(1), as opposed to being cointegrated. It also examines the knee-jerk reaction in behavioral finance, where the Finance and Telecom sectors mean-revert within 24 hours after the oil disaster, while the Energy sector shows a "hangover" effect for 4 days.