The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach
The goal of this paper is to address the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018. We employed three main techniques: MODWT, CWT, and multivariate-GARCH-DCC, to analyze whether these markets have any...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-06-01
|
| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845019302893 |
| _version_ | 1811253722952499200 |
|---|---|
| author | Fatima M. Abdulkarim Mustapha I. Akinlaso Baharom Abdul Hamid Hamisu S. Ali |
| author_facet | Fatima M. Abdulkarim Mustapha I. Akinlaso Baharom Abdul Hamid Hamisu S. Ali |
| author_sort | Fatima M. Abdulkarim |
| collection | DOAJ |
| description | The goal of this paper is to address the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018. We employed three main techniques: MODWT, CWT, and multivariate-GARCH-DCC, to analyze whether these markets have any diversification opportunities. Our findings reveal that, first, the results of MODWT shows Egyptian Islamic index leading all indices. Second, CWT results show that investors would gain diversification benefits in almost all markets (except South Africa) and enjoy the benefit that comes with long-term investments. Third, we observed low correlations between the Egyptian and Tunisian Islamic indices, with oil-price returns suggesting diversification benefits in these markets. Of all the Islamic stock markets, Tunisia's has the lowest volatility with the crude oil index. Investors holding a portfolio of these stocks can afford to have exposure in crude oil–related assets and achieve maximum diversification benefits. |
| first_indexed | 2024-04-12T16:55:23Z |
| format | Article |
| id | doaj.art-2243fac2d9b448eda8e3d668358bd772 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-12T16:55:23Z |
| publishDate | 2020-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-2243fac2d9b448eda8e3d668358bd7722022-12-22T03:24:14ZengElsevierBorsa Istanbul Review2214-84502020-06-01202108120The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approachFatima M. Abdulkarim0Mustapha I. Akinlaso1Baharom Abdul Hamid2Hamisu S. Ali3Department of Banking and Finance, Federal University Dutse, Ibrahim Aliyu Way By-Pass, Dutse, Jigawa State, Nigeria; Corresponding author.International Center for Education in Islamic Finance (INCEIF), Lorong Universiti A, 59100, Kuala Lumpur, MalaysiaInternational Center for Education in Islamic Finance (INCEIF), Lorong Universiti A, 59100, Kuala Lumpur, MalaysiaDepartment of Economics, Faculty of Social Science, Ahmadu Bello University, Zaria, 1044, Zaria, NigeriaThe goal of this paper is to address the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018. We employed three main techniques: MODWT, CWT, and multivariate-GARCH-DCC, to analyze whether these markets have any diversification opportunities. Our findings reveal that, first, the results of MODWT shows Egyptian Islamic index leading all indices. Second, CWT results show that investors would gain diversification benefits in almost all markets (except South Africa) and enjoy the benefit that comes with long-term investments. Third, we observed low correlations between the Egyptian and Tunisian Islamic indices, with oil-price returns suggesting diversification benefits in these markets. Of all the Islamic stock markets, Tunisia's has the lowest volatility with the crude oil index. Investors holding a portfolio of these stocks can afford to have exposure in crude oil–related assets and achieve maximum diversification benefits.http://www.sciencedirect.com/science/article/pii/S2214845019302893G10G15 |
| spellingShingle | Fatima M. Abdulkarim Mustapha I. Akinlaso Baharom Abdul Hamid Hamisu S. Ali The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach Borsa Istanbul Review G10 G15 |
| title | The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach |
| title_full | The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach |
| title_fullStr | The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach |
| title_full_unstemmed | The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach |
| title_short | The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach |
| title_sort | nexus between oil price and islamic stock markets in africa a wavelet and multivariate garch approach |
| topic | G10 G15 |
| url | http://www.sciencedirect.com/science/article/pii/S2214845019302893 |
| work_keys_str_mv | AT fatimamabdulkarim thenexusbetweenoilpriceandislamicstockmarketsinafricaawaveletandmultivariategarchapproach AT mustaphaiakinlaso thenexusbetweenoilpriceandislamicstockmarketsinafricaawaveletandmultivariategarchapproach AT baharomabdulhamid thenexusbetweenoilpriceandislamicstockmarketsinafricaawaveletandmultivariategarchapproach AT hamisusali thenexusbetweenoilpriceandislamicstockmarketsinafricaawaveletandmultivariategarchapproach AT fatimamabdulkarim nexusbetweenoilpriceandislamicstockmarketsinafricaawaveletandmultivariategarchapproach AT mustaphaiakinlaso nexusbetweenoilpriceandislamicstockmarketsinafricaawaveletandmultivariategarchapproach AT baharomabdulhamid nexusbetweenoilpriceandislamicstockmarketsinafricaawaveletandmultivariategarchapproach AT hamisusali nexusbetweenoilpriceandislamicstockmarketsinafricaawaveletandmultivariategarchapproach |