Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340335 
Year of Publication: 
2022
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 22 [Issue:] 6 [Year:] 2022 [Pages:] 1098-1117
Publisher: 
Elsevier, Amsterdam
Abstract: 
Using the asymmetric Baba-Engle-Kraft-Kroner (BEKK)-GARCH model and the frequency spillover methodology by Baruník and Křehlík (2018), this paper examines spillovers and portfolio management between crude oil and US Islamic sector stocks. The results show significant time-varying spillovers between oil and Islamic sectors. The short-term spillovers are stronger than their long-term counterparts. The spillovers intensify during extreme events (global financial crisis and COVID-19 pandemic). The aggregate index, consumer services, raw materials, and manufacturing are net contributors of spillovers in the short term, whereas the remaining sectors are net recipients. In the long-term horizon, we find that consumer goods and finance become net transmitters of spillovers. The raw materials sector becomes a net recipient of spillovers in the long term. Finally, hedging effectiveness is lower in the long term than in the short term during the oil crisis in 2015-2016 and the US presidential election in 2017, US-China trade tension, and the COVID-19 pandemic.
Subjects: 
Asymmetric BEEK-GARCH model
COVID-19
Frequency spillovers
Hedging
Islamic sectors
Oil
JEL: 
G14
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
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