Mishra, Shekhar and Sharif, Arshian and Khuntia, Sashikanta and Meo, Muhammad Saeed,(2019), Does oil prices impede Islamic stock indices? Fresh insights from waveletbased quantile-on-quantile approach. , Resources Policy 62 (2019) 292–304, UNSPECIFIED
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Abstract
The present paper analyses the association among the fluctuations in global crude oil prices and the Dow Jones
Islamic Stock Index by employing daily data from 1st January 1996 to 13th April 2018. The paper uses a novel
approach of Wavelet-based Quantile-on-Quantile Regression Model to examine the influence of different
quantiles of the decomposed time series of WTI Brent Crude Oil Prices on quantiles of Islamic stock index. The
outcome of the study indicates the heterogeneity in the influence of global crude oil prices on Islamic Stock
Index. The original time series data exerts the positive influence across all the quantiles. When we decompose the
series, we find the positive influence starts decreasing and with the advent of stability in the time series of global
crude oil prices, the negative effect becomes stronger. The analysis of the present study indicates that oil prices
fluctuations may have a positive effect on Islamic stock index in short run, but on attaining stability, the oil
prices exert a negative influence on the Islamic stock index.
Keywords : | Islamic stock index Oil prices Wavelet-based quantile-on-quantile, UNSPECIFIED |
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Journal or Publication Title: | Resources Policy 62 (2019) 292–304 |
Volume: | 62 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 20 Dec 2019 08:54 |
Last Modified: | 20 Dec 2019 08:54 |
URI: | https://repofeb.undip.ac.id/id/eprint/622 |