Does oil prices impede Islamic stock indices? Fresh insights from waveletbased quantile-on-quantile approach

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
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

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