Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/320156 
Year of Publication: 
2020
Citation: 
[Journal:] The European Journal of Comparative Economics (EJCE) [ISSN:] 1824-2979 [Volume:] 17 [Issue:] 1 [Year:] 2020 [Pages:] 103-126
Publisher: 
University Carlo Cattaneo (LIUC), Castellanza
Abstract: 
This paper studies the volatility spillover between oil price and conventional and Islamic stock markets. We use a sample of five standard MSCI indexes and their Islamic counterparts from five countries from the Gulf region (Jordan, Kuwait, Oman, Qatar, UAE) and Brent crude oil price index, obtained from MSCI and Energy Information Administration (EIA), to represent the world oil market. We analyze the spillover effects between crude oil and Islamic and conventional indexes using the bivariate VARMA-BEKK-GARCH model of Ling and McAleer (2013), which includes spillover effects in return and variance. Our findings show particular specificities of Islamic marketplaces in reducing the volatility transmission and lowering the volatility persistence, which gives the investors and market participants an opportunity in terms of international diversification and hedging effectiveness. Although our results are indicative of crude oil hedging strategies, they also testify the distinction of Islamic financial markets and raises the issue of strategic posture and competitiveness in the global financial system.
Subjects: 
Volatility spillover
Gulfregion
Oil price
Islamic finance
JEL: 
G11
G15
G32
E3
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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