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The study analyses the relationship between the select macroeconomic variables, inflation, industrial production, money supply, exchange rate, oil prices and global stock prices on the returns of the 15 sectors listed on Saudi stock market. The study applies cointegration technique and finds that there exists at least one cointegration vector between the chosen macroeconomic variables and the sector indices. Error correction model and Wald test to check the long-run and short-run causality relationship between the macroeconomic variables and sectoral stock indices. Results show that the effect of the macroeconomic variables on the returns of the various sectors is varied. The speed of adjustment of the system in case of short run deviations from the long run equilibrium is also found to be different for the various sectors. This study offers important inputs for investment decision making for the investors in the specific sectors of the Saudi stock market.

Long-run and Short-run Relationship between Macroeconomic Factors and Returns on Sectoral Indices in Saudi Arabia: An Empirical Analysis