Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach

By Shekhar Mishra, Arshian Sharif, S. Khuntia, M. Meo, Syed Abdul Rehman Khan. Resources policy, 2019

141 citations recorded by the source corpus.

Abstract The present paper analyses the association among the fluctuations in global crude oil prices and the Dow Jones Islamic Stock Index by employing daily data from 1st January 1996 to 13th April 2018. The paper uses a novel approach of Wavelet-based Quantile-on-Quantile Regression Model to examine the influence of different quantiles of the decomposed time series of WTI Brent Crude Oil Prices on quantiles of Islamic stock index. The outcome of the study indicates the heterogeneity in the influence of global crude oil prices on Islamic Stock Index. The original time series data exerts the positive influence across all the quantiles. When we decompose the series, we find the positive influence starts decreasing and with the advent of stability in the time series of global crude oil prices, the negative effect becomes stronger. The analysis of the present study indicates that oil prices fluctuations may have a positive effect on Islamic stock index in short run, but on attaining stability, the oil prices exert a negative influence on the Islamic stock index.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/32a52b7a5ab14f72e67b3a382b5a59a93f120df2

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Citations in the corpus

How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, background): “Mishra et al. (2019) have presented a similar conclusion of the positive influence of oil price changes on the Islamic stock index in the short term.”
To what extent does COVID-19 drive stock market volatility? A comparison between the U.S. and China (2021, unknown): “This method has been widely applied to various fields of finance and economics, such as energy consumption (Shahbaz et al., 2018), tourism economics (Shahzad et al., 2017), and stock volatility (Gupta et al., 2018; Mishra et al., 2019).”
Revisiting the role of tourism and globalization in environmental degradation in China: Fresh insights from the quantile ARDL approach (2020, background): “Perch-Nielsen et al. (2010) suggested that air transport is a major factor in greenhouse gas emissions in the Swiss tourism industry.”
The Role of Globalization, Economic Growth and Natural Resources on the Ecological Footprint in Thailand: Evidence from Nonlinear Causal Estimations (2021, background): “The results further assert that there implies nonlinearity in each selected factor [42,68,69].”