The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
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...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English English |
| Published: |
Elsevier
2016
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/47409/1/47409_The%20impact%20of%20crude%20oil%20price.pdf http://irep.iium.edu.my/47409/2/47409_The%20impact%20of%20crude%20oil%20price_SCOPUS.pdf http://irep.iium.edu.my/47409/ http://www.sciencedirect.com/science/article/pii/S2214845015300338 |
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| Institution: | Universiti Islam Antarabangsa Malaysia |
| Language: | English English |