Article detail · 2016
The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches
- Year
- 2016
- Type
- article
Data source split
- YÖKSİS YÖKSİS article record
- YÖKSİS venue Borsa Istanbul Review
- Catalog match (ISSN) Borsa Istanbul Review
- OpenAlex OpenAlex enrichment (abstract, citations, topics)
Abstract
OpenAlex · English
: This paper is the first attempt at testing the ‘time-varying’ and ‘time-scale dependent’ volatilities of and correlations between the selected Islamic stock indices of South East Asian countries and selected commodities for enhancing portfolio diversification benefits. Consistent with the results of our VECM, our analysis based on the application of the recent wavelet technique MODWT, indicates that the Singapore Islamic index is leading the other Islamic indices and the commodities. From the point of view of portfolio diversification benefits, based on the extent of dynamic correlations between variables, our results suggest that an investor should be aware that the Philippine Islamic stock index is less correlated with the crude oil in the short run (as evidenced in the continuous wavelet transform analysis) and that an investor holding the crude oil can gain by including the Malaysian Islamic stock index in the portfolio (as evidenced in the Dynamic conditional correlation analysis).
Topics
Citations
OpenAlex cited_by_count. Not a WoS or Scopus citation count; those sources have no separate column here.
89 citations
OpenAlex cited_by_count (cache / database)
20 publications in the local catalog that cite this work (OpenAlex reference match; not the full global list).
- Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications 2017
- Dynamic return and volatility spillovers among S&P 500, crude oil, and gold 2021
- Financial Integration between Sukuk and Bond Indices of Emerging Markets: Insights from Wavelet Coherence and Multivariate-GARCH Analysis 2018
- How the price dynamics of energy resources and precious metals interact with conventional and Islamic Stocks: Fresh insight from dynamic ARDL approach 2022
- Does Islamic Equity Investment Provide Diversification Benefits to Conventional Investors? Evidence from the Multivariate-GARCH Analysis 2018
- Does the Malaysian Sovereign Sukuk Market Offer Portfolio Diversification Opportunities for Global Fixed-Income Investors? Evidence from Wavelet Coherence and Multivariate-GARCH Analyses 2019
- Co-Movement Dynamics between Global Sukuk and Bond Markets: New Insights from a Wavelet Analysis 2019
- The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets 2021
- Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul 2022
- Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul 2022