Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis

Hassan, Kamrul and Hoque, Ariful and Gasbarro, Dominic,(2019), Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis. , Energy Economics, UNSPECIFIED

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Abstract

This paper explores the dynamic conditional correlation and volatility linkage between Islamic indexes and oil for BRIC countries. Correlations between these assets increase during the global financial crisis for India and China but not for Brazil and Russia. The volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil. Hedging performance of Islamic indexes are superior in India and China compared to conventional indexes in emerging markets. An optimal minimum-variance portfolio without reducing expected return can be achieved by investing in lower weights of BRIC Islamic indexes and oil compared to conventional indexes
Keywords : Islamic indexes Global financial crisis Dynamic conditional Correlation Spillover, UNSPECIFIED
Journal or Publication Title: Energy Economics
Volume: 80
Number: UNSPECIFIED
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 27 Dec 2019 02:37
Last Modified: 27 Dec 2019 02:37
URI: https://repofeb.undip.ac.id/id/eprint/980

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