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This paper examine the relationship between oil prices and the Saudi Stock Market by testing the null hypothesis that oil prices are statistically significant predictors of the Saudi stock market's movements for the period 2000-2019. Finding the time series to be cointegrated, the paper performs the testing procedure by employing a Vector Error Correction Model (VECM) and results obtained indicate that oil prices are not statistically significant predictors of Saudi stock market movements, thusdoi:10.32479/ijeep.10525 fatcat:xgwl46z2azehvkrgbfrmyynrje