Extreme dependence and risk spillovers between oil and Islamic stock markets

Shahzad, Syed Jawad Hussain and Mensi, Walid and Hammoudeh, Shawkat and Rehman, Mobeen Ur and Al-Yahyaee, Khamis Hamed,(2018), Extreme dependence and risk spillovers between oil and Islamic stock markets. , Emerging Markets Review, UNSPECIFIED

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This paper examines the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market. The results underscore the presence of time-varying lower tail dependence between the oil and Islamic stock markets. Furthermore, we provide supportive evidence of asymmetric down- and up-side risk spillovers from oil to the Islamic stock markets and vice versa. Finally, these asymmetric risk spillovers have significantly increased after the global financial crisis
Keywords : Oil prices, Islamic stock markets, Risk spillovers, Copula, Delta CoVaR, UNSPECIFIED
Journal or Publication Title: Emerging Markets Review
Volume: 34
Item Type: Article
Subjects: Manajemen
Ekonomi Pembangunan
Depositing User: Endhar Priyo Utomo
Date Deposited: 30 Dec 2019 02:34
Last Modified: 30 Dec 2019 02:34
URI: https://repofeb.undip.ac.id/id/eprint/1135

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