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The nexus between oil price and Islamic stock markets in Africa: a wavelet and multivariate-GARCH approach

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dc.contributor.authorFatima Muhammad Abdulkarim
dc.contributor.authorIshaq Muhammad Mustapha Akinlaso
dc.contributor.authorHamisu Sadi Ali
dc.contributor.authorBaharom Abdul Hamid
dc.date.accessioned2020-07-13T03:51:25Z
dc.date.available2020-07-13T03:51:25Z
dc.date.issued2020
dc.description.abstractThe goal of this paper is to address the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018. We employed three main techniques: MODWT, CWT, and multivariate-GARCH-DCC, to analyze whether these markets have any diversification opportunities. Our findings reveal that, first, the results of MODWT shows Egyptian Islamic index leading all indices. Second, CWT results show that investors would gain diversification benefits in almost all markets (except South Africa) and enjoy the benefit that comes with long-term investments. Third, we observed low correlations between the Egyptian and Tunisian Islamic indices, with oil-price returns suggesting diversification benefits in these markets. Of all the Islamic stock markets, Tunisia's has the lowest volatility with the crude oil index. Investors holding a portfolio of these stocks can afford to have exposure in crude oil-related assets and achieve maximum diversification benefitsen_US
dc.identifier.citationMuhammad Abdulkarim, F., Akinlaso, I. M. M., Abdul Hamid, B., & Ali, H. S. (2020). The nexus between oil price and Islamic stock markets in Africa: a wavelet and multivariate-GARCH approach. Borsa Istanbul Review, 20(2), pp. 108-120.en_US
dc.identifier.doihttps://doi.org/10.1016/j.bir.2019.11.001
dc.identifier.issn2214-8450
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3277
dc.languageEnglish
dc.language.isoengen_US
dc.publisherBorsa Istanbulen_US
dc.rights2019. Borsa Istanbul
dc.sourceSEDONA
dc.subjectAfricaen_US
dc.subjectCrude oilen_US
dc.subjectDiversificationen_US
dc.subjectIslamic equity indicesen_US
dc.subjectMultivariate-GARCH-DCCen_US
dc.subjectWaveleten_US
dc.titleThe nexus between oil price and Islamic stock markets in Africa: a wavelet and multivariate-GARCH approachen_US
dc.typeJournal Articleen_US
dlc.maintopicIslamic capital marketsen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital marketsen_US
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relation.isAuthorOfPublication.latestForDiscovery219f93a8-b38f-400c-981f-6a7162e44a2f
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