Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach

被引：111
|
作者：
Mishra, Shekhar [1 ]
Sharif, Arshian [2 ]
Khuntia, Sashikanta [3 ]
Meo, Muhammad Saeed [4 ]
Khan, Syed Abdul Rehman [5 ]
机构：
[1] CV Raman Coll Engn, Dept Business Management, Bhubaneswar, Odisha, India
[2] Univ Utara Malaysia, Othman Yeop Abdullah Grad Sch Business, Sintok, Kedah, Malaysia
[3] Indian Sch Mines, Indian Inst Technol, Dept Management Studies, Dhanbad, Jharkhand, India
[4] Super Coll, Lahore, Pakistan
[5] Tsinghua Univ, Sch Econ & Management, Beijing, Peoples R China
来源：
RESOURCES POLICY | 2019年 / 62卷
关键词：
Islamic stock index; Oil prices; Wavelet-based quantile-on-quantile; ECONOMIC-POLICY UNCERTAINTY; CRUDE-OIL; ASYMMETRIC IMPACT; GROWTH NEXUS; CO-MOVEMENT; SHOCKS; RETURNS; MARKET; COINTEGRATION; US;
D O I：
10.1016/j.resourpol.2019.04.005
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
The present paper analyses the association among the fluctuations in global crude oil prices and the Dow Jones Islamic Stock Index by employing daily data from 1st January 1996 to 13th April 2018. The paper uses a novel approach of Wavelet-based Quantile-on-Quantile Regression Model to examine the influence of different quantiles of the decomposed time series of WTI Brent Crude Oil Prices on quantiles of Islamic stock index. The outcome of the study indicates the heterogeneity in the influence of global crude oil prices on Islamic Stock Index. The original time series data exerts the positive influence across all the quantiles. When we decompose the series, we find the positive influence starts decreasing and with the advent of stability in the time series of global crude oil prices, the negative effect becomes stronger. The analysis of the present study indicates that oil prices fluctuations may have a positive effect on Islamic stock index in short run, but on attaining stability, the oil prices exert a negative influence on the Islamic stock index.
引用
收藏
页码：292 / 304
页数：13
相关论文
共 50 条
12345