Extreme dependence and risk spillovers between oil and Islamic stock markets

Syed Jawad Hussain Shahzad; Walid Mensi; Shawkat Hammoudeh; Mobeen Ur Rehman; Khamis H. Al-Yahyaee

doi:10.1016/j.ememar.2017.10.003

Extreme dependence and risk spillovers between oil and Islamic stock markets

Syed Jawad Hussain Shahzad^*, Walid Mensi, Shawkat Hammoudeh, Mobeen Ur Rehman, Khamis H. Al-Yahyaee

^*Corresponding author for this work

Economics & Finance

Research output: Contribution to journal › Article › peer-review

93 Citations (Scopus)

Abstract

This paper examines the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market. The results underscore the presence of time-varying lower tail dependence between the oil and Islamic stock markets. Furthermore, we provide supportive evidence of asymmetric down- and up-side risk spillovers from oil to the Islamic stock markets and vice versa. Finally, these asymmetric risk spillovers have significantly increased after the global financial crisis.

Original language	English
Pages (from-to)	42-63
Number of pages	22
Journal	Emerging Markets Review
Volume	34
DOIs	https://doi.org/10.1016/j.ememar.2017.10.003
Publication status	Published - Mar 2018

Keywords

Copula
Delta CoVaR
Islamic stock markets
Oil prices
Risk spillovers

ASJC Scopus subject areas

Business and International Management
Economics and Econometrics

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10.1016/j.ememar.2017.10.003

Cite this

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title = "Extreme dependence and risk spillovers between oil and Islamic stock markets",

abstract = "This paper examines the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market. The results underscore the presence of time-varying lower tail dependence between the oil and Islamic stock markets. Furthermore, we provide supportive evidence of asymmetric down- and up-side risk spillovers from oil to the Islamic stock markets and vice versa. Finally, these asymmetric risk spillovers have significantly increased after the global financial crisis.",

keywords = "Copula, Delta CoVaR, Islamic stock markets, Oil prices, Risk spillovers",

author = "Shahzad, {Syed Jawad Hussain} and Walid Mensi and Shawkat Hammoudeh and Rehman, {Mobeen Ur} and Al-Yahyaee, {Khamis H.}",

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AU - Shahzad, Syed Jawad Hussain

AU - Mensi, Walid

AU - Hammoudeh, Shawkat

AU - Rehman, Mobeen Ur

AU - Al-Yahyaee, Khamis H.

PY - 2018/3

Y1 - 2018/3

N2 - This paper examines the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market. The results underscore the presence of time-varying lower tail dependence between the oil and Islamic stock markets. Furthermore, we provide supportive evidence of asymmetric down- and up-side risk spillovers from oil to the Islamic stock markets and vice versa. Finally, these asymmetric risk spillovers have significantly increased after the global financial crisis.

AB - This paper examines the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market. The results underscore the presence of time-varying lower tail dependence between the oil and Islamic stock markets. Furthermore, we provide supportive evidence of asymmetric down- and up-side risk spillovers from oil to the Islamic stock markets and vice versa. Finally, these asymmetric risk spillovers have significantly increased after the global financial crisis.

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KW - Delta CoVaR

KW - Islamic stock markets

KW - Oil prices

KW - Risk spillovers

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Extreme dependence and risk spillovers between oil and Islamic stock markets

Abstract

Keywords

ASJC Scopus subject areas

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