The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach
This study extends the existing literature by examining the impact of oil prices on the Dow Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical estimations are used to provide an in-depth understanding of the sensitivity of stock indices towards oil price fluctuat...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
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Elsevier Ltd.
2020
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/27268/1/RP%2065%202020%201%2012.pdf |
| _version_ | 1825805618683838464 |
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| author | Chang, Bisharat Hussain Sharif, Arshian Aman, Ameenullah Mohd Suki, Norazah Salman, Asma Khan, Syed Abdul Rehman |
| author_facet | Chang, Bisharat Hussain Sharif, Arshian Aman, Ameenullah Mohd Suki, Norazah Salman, Asma Khan, Syed Abdul Rehman |
| author_sort | Chang, Bisharat Hussain |
| collection | UUM |
| description | This study extends the existing literature by examining the impact of oil prices on the Dow Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical estimations are used to provide an in-depth
understanding of the sensitivity of stock indices towards oil price fluctuation. Quantile unit root test and quantile cointegration tests are used to examine the integrating properties of the underlying variables. Moreover, we use Quantile-on-Quantile (QQ) approach to examine the impact across diverse quantiles of explanatory and
outcome variables. Findings of the QQ estimate indicates that lower (upper) quantiles of oil prices negatively affect the upper (lower) quantiles of the DJ Islamic index. In addition, either upper or lower quantiles of both
markets indicate a positive relationship. The findings for financial sector, healthcare sector, consumer goods, consumer services, oil & gas sector, utility sector, and industrial sector are consistent with the findings of DJ Islamic index. Finally, for basic material, technology and telecommunication sectors, a positive relationship is found across different quantiles. This study provides policy implications based on the findings of these enhanced methodologies. |
| first_indexed | 2024-07-04T06:35:14Z |
| format | Article |
| id | uum-27268 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:35:14Z |
| publishDate | 2020 |
| publisher | Elsevier Ltd. |
| record_format | eprints |
| spelling | uum-272682020-07-26T08:10:29Z https://repo.uum.edu.my/id/eprint/27268/ The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach Chang, Bisharat Hussain Sharif, Arshian Aman, Ameenullah Mohd Suki, Norazah Salman, Asma Khan, Syed Abdul Rehman HD28 Management. Industrial Management This study extends the existing literature by examining the impact of oil prices on the Dow Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical estimations are used to provide an in-depth understanding of the sensitivity of stock indices towards oil price fluctuation. Quantile unit root test and quantile cointegration tests are used to examine the integrating properties of the underlying variables. Moreover, we use Quantile-on-Quantile (QQ) approach to examine the impact across diverse quantiles of explanatory and outcome variables. Findings of the QQ estimate indicates that lower (upper) quantiles of oil prices negatively affect the upper (lower) quantiles of the DJ Islamic index. In addition, either upper or lower quantiles of both markets indicate a positive relationship. The findings for financial sector, healthcare sector, consumer goods, consumer services, oil & gas sector, utility sector, and industrial sector are consistent with the findings of DJ Islamic index. Finally, for basic material, technology and telecommunication sectors, a positive relationship is found across different quantiles. This study provides policy implications based on the findings of these enhanced methodologies. Elsevier Ltd. 2020 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/27268/1/RP%2065%202020%201%2012.pdf Chang, Bisharat Hussain and Sharif, Arshian and Aman, Ameenullah and Mohd Suki, Norazah and Salman, Asma and Khan, Syed Abdul Rehman (2020) The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. Resources Policy, 65. pp. 1-12. ISSN 03014207 http://doi.org/10.1016/j.resourpol.2019.101571 doi:10.1016/j.resourpol.2019.101571 doi:10.1016/j.resourpol.2019.101571 |
| spellingShingle | HD28 Management. Industrial Management Chang, Bisharat Hussain Sharif, Arshian Aman, Ameenullah Mohd Suki, Norazah Salman, Asma Khan, Syed Abdul Rehman The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach |
| title | The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach |
| title_full | The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach |
| title_fullStr | The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach |
| title_full_unstemmed | The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach |
| title_short | The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach |
| title_sort | asymmetric effects of oil price on sectoral islamic stocks new evidence from quantile on quantile regression approach |
| topic | HD28 Management. Industrial Management |
| url | https://repo.uum.edu.my/id/eprint/27268/1/RP%2065%202020%201%2012.pdf |
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