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

• Main Authors: Abdullah, Ahmad Monir, Saiti, Buerhan, Masih, Mansur
• Format: Article
• Language: English; English
• Published: Elsevier 2016
• Subjects: HG4501 Stocks, investment, speculation
• 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
• Institution: Universiti Islam Antarabangsa Malaysia

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...