The Saudi conference is part of Crown Prince Mohammed bin Salman's effort to modernize the kingdom's economy and diversify it away from oil.
"Markets start to price in a fundamental change in the nature of the relationship between the U.S. and Saudi Arabia", said Jaap Meijer, managing director and head of equity research at Arqaam Capital.
Western tech-industry officials have backed away from NEOM in the wake of Khashoggi's alleged killing.
FILE PHOTO: Ford Executive Chairman Bill Ford poses next to a 1965 Ford Mustang GT during the 100 year celebration of the Ford River Rouge Complex in Dearborn, Michigan U.S. September 27, 2018.
Khashoggi, a Washington Post contributor and USA permanent resident whose writings have been critical of powerful Saudi Crown Prince Mohammed bin Salman, has been missing since entering the country's consulate in Istanbul on October 2. "For sure, they listened to the conversation between me and Jamal and other activists, in Canada, in the States, in Turkey, in Saudi Arabia", Omar Abdulaziz said in an interview with the Canadian Broadcasting Corporation.
He claimed there are many princes in jail right now in Saudi Arabia.
However, Mr Trump added the USA would be "punishing itself" if it cancelled military sales to Saudi Arabia over the disappearance of Mr Khashoggi.
Journalist Jamal Khashoggi vanished after visiting the building earlier this month, and simmering worldwide suspicion puts the Saudi government behind his murder.
A Future Investment Initiative forum spokesperson said Saturday that the event would be held on schedule despite the refusal of a number of guests to participate, amid the disappearance of prominent Saudi journalist Jamal Khashoggi.
White House economic adviser Larry Kudlow declined to speculate on what Trump might do, citing a "swift and transparent investigation" in the coming week.
"I think we'd be punishing ourselves if we did that", he said.
Reports suggest an assault and struggle took place in the consulate after Mr Khashoggi entered the building to get some documents.
The threat caused the stock market of the world's biggest oil exporter to lose as much as $33 billion of its value on Sunday in one of the first signs of the economic pain that Riyadh could suffer over the affair. The kingdom also warned of retaliation if there was any punitive action against it.
Sanders suggested that cutting ties to the war in Yemen would be among the strongest responses the US could undertake.
The men stayed at the consulate for a few hours and then took flights back to Saudi Arabia.
As a contributor to the Post, Khashoggi has written extensively about Saudi Arabia, including criticism of its war in Yemen, its recent diplomatic spat with Canada and its arrest of women's rights activists after the lifting of a ban on women driving.
Trump pledged unspecified "severe punishment" in a "60 Minutes" interview airing Sunday should the US determine Saudi involvement in the disappearance of Khashoggi, who had written columns critical of Saudi Crown Prince Mohammed bin Salman.
Trump added, "We're going to get to the bottom of it, and there will be severe punishment".