Volatility spillover and hedging effectiveness among crude oil and Islamic markets: evidence from the Gulf region

Volatility spillover and hedging effectiveness among crude oil and Islamic markets: evidence from the Gulf region

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...

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Bibliographic Details
Main Authors: Walid Mansour, Haykel Hamdi, Jihed Majdoub, Ikrame Ben Slimane
Format: Article
Language:English
Published: Università Carlo Cattaneo LIUC 2020-06-01
Series:The European Journal of Comparative Economics
Subjects:
volatility spillover
gulf region
oil price
islamic finance
Online Access:http://ejce.liuc.it/18242979202001/182429792020170106.pdf

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