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The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches

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dc.contributor.authorAhmad Monir Abdullah
dc.contributor.authorBuerhan Saiti
dc.contributor.authorAbul Mansur Mohammed Masih
dc.date.accessioned2017-12-14T16:12:25Z
dc.date.available2017-12-14T16:12:25Z
dc.date.issued2016
dc.description.abstractThis paper is the first attempt at testing the "time-varying" and "time-scale dependent" volatilities of and correlations between the selected Islamic stock indices of South East Asian countries and selected commodities for enhancing portfolio diversification benefits. Consistent with the results of our VECM, our analysis based on the application of the recent wavelet technique MODWT, indicates that the Singapore Islamic index is leading the other Islamic indices and the commodities. From the point of view of portfolio diversification benefits, based on the extent of dynamic correlations between variables, our results suggest that an investor should be aware that the Philippine Islamic stock index is less correlated with the crude oil in the short run (as evidenced in the continuous wavelet transform analysis) and that an investor holding the crude oil can gain by including the Malaysian Islamic stock index in the portfolio (as evidenced in the Dynamic conditional correlation analysis).en_US
dc.identifier.citationAbdullah, A. M., Saiti, B., & Mohammed Masih, A. M. (2016). The impact of crude oil price on Islamic stock indices of South East Asian Countries: evidence from MGARCH-DCC and wavelet approaches. Borsa Istanbul Review, 16(4), 219-232. https://doi.org/10.1016/j.bir.2015.12.002en_US
dc.identifier.doihttps://doi.org/10.1016/j.bir.2015.12.002
dc.identifier.issn2214-8450
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/2763
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rights2016. Elsevier
dc.sourceSEDONA
dc.subjectCommodityen_US
dc.subjectIslamic stock index returnsen_US
dc.subjectMODWTen_US
dc.subjectCWTen_US
dc.subjectMGARCH-DCCen_US
dc.subjectDiversificationen_US
dc.subjectCausalityen_US
dc.subjectSouth East Asiaen_US
dc.titleThe impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approachesen_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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