The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches

Abdullah, Ahmad Monir and Saiti, Buerhan and Masih, Mansur (2016) The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches. Borsa Istanbul Review, 16 (4). pp. 219-232. ISSN 2214-8450

	PDF - Published Version Restricted to Repository staff only Download (3MB) | Request a copy
	PDF (SCOPUS) - Supplemental Material Restricted to Repository staff only Download (145kB) | Request a copy

Abstract

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).

Item Type:	Article (Journal)
Additional Information:	7451/47409
Uncontrolled Keywords:	Commodity; Islamic stock index returns; MODWT; CWT; MGARCH-DCC; Diversification; Causality; South East Asia
Subjects:	H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Institute of Islamic Banking & Finance (IIiBF)
Depositing User:	ASSOC PROF DR BUERHAN SAITI
Date Deposited:	10 Feb 2016 10:44
Last Modified:	15 Dec 2016 09:11
URI:	http://irep.iium.edu.my/id/eprint/47409

Actions (login required)

View Item