Oil is one of the most important factors that affects the economy of Saudi Arabia. Previous studies showed that oil prices can affect the growth of the economy especially in oil exporting countries. As oil represents approximately 90% of the exports, and almost 75% of government revenues and with the recent prices decline, the study of the dynamic effect of oil prices volatility is of great importance. This study aims to investigate the dynamic effect between oil prices variations and Saudi Stock Market, Gross Domestic Production "GDP," Real Exchange Rate, and Inflation. The study uses...