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: Abdullah, Ahmad Monir, Saiti, Buerhan, Masih, Mansur
Format: Article
Language:English
English
Published: Elsevier 2016
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
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spelling my.iium.irep.474092016-12-15T01:11:58Z http://irep.iium.edu.my/47409/ 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 Saiti, Buerhan Masih, Mansur HG4501 Stocks, investment, speculation 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). Elsevier 2016-12-16 Article REM application/pdf en http://irep.iium.edu.my/47409/1/47409_The%20impact%20of%20crude%20oil%20price.pdf application/pdf en http://irep.iium.edu.my/47409/2/47409_The%20impact%20of%20crude%20oil%20price_SCOPUS.pdf 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 http://www.sciencedirect.com/science/article/pii/S2214845015300338 10.1016/j.bir.2015.12.002
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
topic HG4501 Stocks, investment, speculation
spellingShingle HG4501 Stocks, investment, speculation
Abdullah, Ahmad Monir
Saiti, Buerhan
Masih, Mansur
The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
description 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).
format Article
author Abdullah, Ahmad Monir
Saiti, Buerhan
Masih, Mansur
author_facet Abdullah, Ahmad Monir
Saiti, Buerhan
Masih, Mansur
author_sort Abdullah, Ahmad Monir
title The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
title_short The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
title_full The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
title_fullStr The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
title_full_unstemmed The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
title_sort impact of crude oil price on islamic stock indices of south east asian countries: evidence from mgarch-dcc and wavelet approaches
publisher Elsevier
publishDate 2016
url 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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