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

Research output: Contribution to journalArticle

15 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 languageEnglish
JournalEmerging Markets Review
DOIs
Publication statusAccepted/In press - 2017

Fingerprint

Oil
Spillover
Stock market
Oil markets
Tail dependence
Dependence structure
Global financial crisis
Time-varying
Japan
Investors
Faith
World market

Keywords

  • Copula
  • Delta CoVaR
  • Islamic stock markets
  • Oil prices
  • Risk spillovers

ASJC Scopus subject areas

  • Business and International Management
  • Economics and Econometrics

Cite this

Extreme dependence and risk spillovers between oil and Islamic stock markets. / Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, Shawkat; Rehman, Mobeen Ur; Al-Yahyaee, Khamis H.

In: Emerging Markets Review, 2017.

Research output: Contribution to journalArticle

Shahzad, Syed Jawad Hussain ; Mensi, Walid ; Hammoudeh, Shawkat ; Rehman, Mobeen Ur ; Al-Yahyaee, Khamis H. / Extreme dependence and risk spillovers between oil and Islamic stock markets. In: Emerging Markets Review. 2017.
@article{c305fade30ad4270aa640fbd7eea1c56,
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.}",
year = "2017",
doi = "10.1016/j.ememar.2017.10.003",
language = "English",
journal = "Emerging Markets Review",
issn = "1566-0141",
publisher = "Elsevier",

}

TY - JOUR

T1 - Extreme dependence and risk spillovers between oil and Islamic stock markets

AU - Shahzad, Syed Jawad Hussain

AU - Mensi, Walid

AU - Hammoudeh, Shawkat

AU - Rehman, Mobeen Ur

AU - Al-Yahyaee, Khamis H.

PY - 2017

Y1 - 2017

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.

KW - Copula

KW - Delta CoVaR

KW - Islamic stock markets

KW - Oil prices

KW - Risk spillovers

UR - http://www.scopus.com/inward/record.url?scp=85032289207&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85032289207&partnerID=8YFLogxK

U2 - 10.1016/j.ememar.2017.10.003

DO - 10.1016/j.ememar.2017.10.003

M3 - Article

JO - Emerging Markets Review

JF - Emerging Markets Review

SN - 1566-0141

ER -