Abstract
In this study, we examine the impact of COVID-19 on the relationship between non-renewable energy and Saudi stock market sectors for the period 11 January 2017-22 January 2022. We apply wavelet coherence and Radial Basis Function Neural Network (RBFNN) models. Our results provide evidence that COVID-19 led to an increase in the strength of the relationship between oil as a main non-renewable energy source and Saudi stock market sectors and affected the nature and direction of this relationship. The relationships between oil and commercial and professional services, materials, banks, energy, and transportation sectors are the most affected. Our results will help hedge funds, mutual funds, and individual investors, forecast the direction of Saudi stock market sectors and the use of oil for hedging or diversification during periods of uncertainty and crisis. It will also help decision and policymakers in Saudi Arabia to make the necessary decisions and actions to maintain the stability of the stock market sectors during these periods.