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:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/47409/ http://irep.iium.edu.my/47409/ http://irep.iium.edu.my/47409/ 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

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recordtype	eprints
spelling	iium-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 PeerReviewed 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
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
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/ http://irep.iium.edu.my/47409/ http://irep.iium.edu.my/47409/ 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
first_indexed	2023-09-18T21:07:28Z
last_indexed	2023-09-18T21:07:28Z
_version_	1777411029509079040

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

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