Saudi King Salman and Turkish President Recep Tayyip Erdogan spoke on the phone Sunday as Riyadh hit back at threats of sanctions over the case of missing Saudi journalist Jamal Khashoggi, while foreign powers called for a thorough investigation and the Saudi stock market fell.

Khashoggi, a Washington Post contributor and critic of Crown Prince Mohammed bin Salman, disappeared after entering the Saudi consulate in Istanbul on Oct. 2.

Turkey says he was murdered there, but Saudi Arabia has denied the claims. Khashoggi has not been seen or heard from since.

In his phone conversation with Erdogan on Sunday, King Salman emphasized his country's strong relationship with Turkey, according to a statement from the Saudi foreign ministry.

The two also spoke about the idea of forming a "joint working group" to investigate Khashoggi's disappearance, sources said.

Elsewhere in Riyadh however, the tone was harsher after US President Donald Trump on Saturday said there would be "severe punishment" if it was proven Saudi authorities had had the journalist killed.

The Saudi Press Agency (SPA) quoted an unnamed official saying: "The Kingdom affirms its total rejection of any threats and attempts to undermine it, whether by threatening to impose economic sanctions, using political pressures, or repeating false accusations."

"If it receives any action, it will respond with greater action," the official added.

What has been the international reaction?

White House economic adviser Larry Kudlow warned Riyadh to take Trump's threat seriously. "When the president warns, people should take him at his word," he said.

"If the Saudis are involved, if Khashoggi was killed or harmed… he (Trump) will take action."

Senators meanwhile urged a reevaluation of Washington's relationship with Riyadh, a traditional ally.

"Just because they are an ally in an important mission, which is containing Iranian expansion in the region, cannot allow us to overlook or walk away from (Khashoggi's disappearance)," Florida Senator Marco Rubio told CNN.

Arizona Senator Jeff Flake also threatened "severe action" with regards to arms sales and support for Saudi Arabia's involvement in Yemen.

France, Britain and Germany put out a joint statement calling for a full inquiry.

"There needs to be a credible investigation to establish the truth about what happened, and - if relevant - to identify those bearing responsibility for the disappearance of Jamal Khashoggi, and ensure that they are held to account," the statement said.

"We… expect the Saudi Government to provide a complete and detailed response," the countries' foreign ministers went on, adding that they had informed Riyadh "directly" of their position.

Egypt called for "a transparent investigation" but said it supported Saudi Arabia's efforts to clear things up.

How is the investigation going?

Efforts to find out what happened in the Saudi consulate have run into obstacles.

Turkish Foreign Minister Mevlut Cavusoglu complained to reporters in London on Saturday that Saudi authorities were not fully cooperating and urged them to allow investigators into the building.

Turkish officials say Riyadh sent a 15-man team to Istanbul two weeks ago to kill Khashoggi. Claims leaked to the media also allege he was tortured and murdered inside the Saudi mission, and his body was then dismembered.

Saudi authorities insist Khashoggi, who went to the consulate to get papers in preparation of getting married, left the building alive.

What has been the impact on Saudi Arabia?

Uncertainty over Khashoggi's fate has taken its toll already. 

On Sunday, the Saudi stock market fell as much as seven percent in early trade. By close, it had recovered some losses, ending down 3.5 percent and losing 16.5 billion US dollars in market value.

But this was just an initial reaction and things could get worse, Neem Aslam, chief market analyst at ThinkMarkets, told Al Jazeera.

"If entrepreneurs at these levels decide to cut ties or pull back from investments in Saudi Arabia, the stock market is going to have a huge reaction.

Meanwhile, JP Morgan CEO James Dimon and Ford Motor chairman Bill Ford became the latest high-profile names to pull out of a major investment conference next week in Riyadh, known as "Davos in the Desert."

They joined a list including Uber CEO Dara Khosrowshahi, British billionaire Richard Branson and Viacom CEO Bob Bakish, as well as news organizations like CNN, CNBC, Bloomberg and the Financial Times, who have said they will skip this year's meeting, citing concerns over Khashoggi. 

US Treasury Secretary Steve Mnuchin and UK International Trade Secretary Liam Fox were also reportedly considering boycotting the event. 

(With input from agencies)