Journal article
Extreme dependence and risk spillovers between oil and Islamic stock markets
Emerging markets review, v 34, pp 42-63
01 Mar 2018
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market The results underscore the presence of time-varying lower tail dependence between the oil and Islamic stock markets. Furthermore, we provide supportive evidence of asymmetric down-and up-side risk spillovers from oil to the Islamic stock markets and vice versa. Finally, these asymmetric risk spillovers have significantly increased after the global financial crisis. (C) 2017 Elsevier B.V. All rights reserved.
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Details
- Title
- Extreme dependence and risk spillovers between oil and Islamic stock markets
- Creators
- Syed Jawad Hussain Shahzad - Montpellier Business SchoolWalid Mensi - Sultan Qaboos UniversityShawkat Hammoudeh - Drexel UniversityMobeen Ur Rehman - Shaheed Zulfiqar Ali Bhutto Institute of Science and TechnologyKhamis H. Al-Yahyaee - Sultan Qaboos University
- Publication Details
- Emerging markets review, v 34, pp 42-63
- Publisher
- Elsevier
- Number of pages
- 22
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000428482100003
- Scopus ID
- 2-s2.0-85032289207
- Other Identifier
- 991019167940904721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics