The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches

The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches

This paper is the first attempt at testing the ‘time-varying’ and ‘time-scale dependent’ volatilities of and correlations between the selected Islamic stock indices of South East Asian countries and selected commodities for enhancing portfolio diversification benefits. Consistent with the results of...

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Bibliographic Details
Main Authors: Ahmad Monir Abdullah, Buerhan Saiti, Mansur Masih
Format: Article
Language:English
Published: Elsevier 2016-12-01
Series:Borsa Istanbul Review
Subjects:
Commodity
Islamic stock index returns
MODWT
CWT
MGARCH-DCC
Diversification
Causality
South East Asia
Online Access:http://www.sciencedirect.com/science/article/pii/S2214845015300338

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