Measuring risk transmission between international oil and islamic stock markets: A comparative analysis with the gold markets.

Opis bibliograficzny

Measuring risk transmission between international oil and islamic stock markets: A comparative analysis with the gold markets. [AUT.] GHALLABI FAHMI, GHORBEL AHMED, KUMAR SATISH, SHARIF ARSHIAN. International Review of Economics and Finance. DOI: 10.1016/j.iref.2024.103465
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Szczegóły publikacji

Rok:2024
Język:angielski
Charakter formalny:Artykuł w czasopismie
Typ MNiSW/MEiN:inne

Streszczenia

An asymmetric dynamic conditional correlation-conditional value-at-risk (ADCC-CoVaR) method was used in examining the spillover of risk between gold, oil, and the Islamic stock indices between January 1, 2016, and July 6, 2023. The study evidenced increasing conditional correlations between these indices amidst the COVID-19 crisis. The findings indicate a generally significant transmission of downside and upside risks across all market pairs throughout the cumulative distributions and below (above) the 10th (90th) decile. Overall, the spillover of downside risk is considerably more heightened than that of upside risk, irrespective of the market pair and the direction of conditioning, with the exception of a few pairs, such as GOLD/DJI, DJIF/WTI, WTI/DJIF, WTI/DJIT and GOLD/DJII, where this pattern is not observed. In most cases, the risk spillover among the studied markets is not different based on their spillover direction. Amid the COVID-19 crisis, WTI offers improved diversification and advantages in terms of risk reduction with Islamic stock indices and vice versa. However, as compared to other Islamic indices, oil offers less diversification and risk reduction advantages within the Islamic financial sector, and vice versa. These findings hold significance for effective portfolio rebalancing and risk management practices.

Identyfikatory

ISSN: 1059-0560
BPP ID: (6, 8407) wydawnictwo ciągłe #8407

Metryki

70,00
Punkty MNiSW/MEiN
0
Impact Factor
0
Index Copernicus
0
Punktacja wewnętrzna

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Status:przed korektą
Praca recenzowana:nie
Rekord utworzony:18 czerwca 2026 21:35
Ostatnia aktualizacja:18 czerwca 2026 21:35