Badeeb, Ramez Abubakr and Lean, Hooi Hooi,(2018), Asymmetric impact of oil price on Islamic sectoral stocks. , Energy Economics 71 (2018) 128–139, UNSPECIFIED
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Abstract
This paper extends the literature concerning non-linearity in oil-stock relationships by putting forward a new
paradigm of sectoral and Islamic elements. We explore the asymmetric impact of oil price on Islamic stocks
from a sectoral perspective using non-linear Autoregressive Distributed Lag cointegration methodology. The
main advantage of this methodology relies on its ability to simultaneously capture the short- and long-run
asymmetries through both positive and negative oil price shocks. Our results show weak linkages between oil
price changes and the Islamic composite index. However, the nature and sensitivity of the reaction of stock prices
to oil price shocks vary considerably across different sectors. In the longer horizon, the relationships between oil
price and many Islamic sectoral stocks tend to follow a nonlinear pattern. Furthermore, the behavior of the real
economic sectors indices reflects the performance of the composite index that is oil price-resistant. During the
turbulent period after 2008, the response of the sectoral indices to oil price movements witnessed notable
changes where the sectoral gains from oil price drop that have been observed during the period of study have
been found to diminish after 2008. Our finding is in line with the argument that the Islamic composite index is
grounded more on and within the real sectors. These findings are robust when considering different oil proxies
and different data time-frequencies
Keywords : | Oil price Islamic stocks Sectoral Non-linear ARDL, UNSPECIFIED |
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Journal or Publication Title: | Energy Economics 71 (2018) 128–139 |
Volume: | 71 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 20 Dec 2019 08:09 |
Last Modified: | 20 Dec 2019 08:09 |
URI: | https://repofeb.undip.ac.id/id/eprint/600 |