Extreme dependence and risk spillovers between oil and Islamic stock markets

被引：101

作者：

Shahzad, Syed Jawad Hussain ^{[1
]}

Mensi, Walid ^{[2
,3
]}

Hammoudeh, Shawkat ^{[1
,4
]}

Rehman, Mobeen Ur ^{[5
]}

Al-Yahyaee, Khamis H. ^{[3
]}

机构：

[1] Montpellier Business Sch, ESD, Montpellier, France

[2] Univ Tunis El Manar, Dept Finance & Accounting, Tunis, Tunisia

[3] Sultan Qaboos Univ, Dept Econ & Finance, Coll Econ & Polit Sci, Muscat, Oman

[4] Drexel Univ, Lebow Coll Business, Philadelphia, PA 19104 USA

[5] SZABIST, Islamabad, Pakistan

来源：

EMERGING MARKETS REVIEW | 2018年 / 34卷

关键词：

Oil prices; Islamic stock markets; Risk spillovers; Copula; Delta CoVaR; CRUDE-OIL; PRICE SHOCKS; COPULA APPROACH; TIME-SERIES; UNIT-ROOT; FINANCIAL-MARKETS; SYSTEMIC RISK; ENERGY SHOCKS; CO-MOVEMENT; VOLATILITY;

D O I：

10.1016/j.ememar.2017.10.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：42 / 63

页数：22

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