Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach

Zaighum, Isma; Aman, Ameenullah; Sharif, Arshian; Suleman, Muhammad Tahir

doi:10.1016/j.resourpol.2021.102068

Cited by 16 publications

(8 citation statements)

References 73 publications

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“…Unlike Bhuiyan et al (2021), Bouri et al (2017Bouri et al ( , 2020, Chkili et al (2021), Selmi et al (2018), Zaighum et al (2021), our results provide limited evidence that Islamic finance and Bitcoin serve as alternatives to existing financial tools in terms of potential diversification and safe haven benefits.…”

contrasting

confidence: 59%

“…Moreover, they resulted that in the long run, the negative oil price shock leads to an increase in Islamic stock prices. Zaighum et al (2021) researched on how energy prices interact with global stocks? They used QARDL approach to be able to advise investors to include Islamic stocks in their portfolios that contain crude and heating oil, as they will have better diversification characteristics.…”

Section: Stock's Interaction With the Commodity Marketmentioning

confidence: 99%

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On the Linkage between Bitcoin, Islamic Stocks, and Oil Prices

ALJASEM¹

2022

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The expansion of asset classes and the health, economic and geopolitical crises have made it necessary for investors to diversify their assets in international markets. This book aims to investigate the causal relationship between Bitcoin (BTC), Islamic Stock Markets (ISMs), and Oil. To this end, Firstly, the stationarity of the data series was checked using the Augmented Dickey-Fuller (ADF) and Philips Perron (PP) Tests for the period from August 18, 2011, to December 10, 2021. Then, after implementing the Vector Autoregressive (VAR) Model and various robustness checks to trace the existence of correlations between the variables, the Nonparametric Causality-in- Quantiles Test was utilized to determine the direction and strength of the relationship between the studied series. The results suggested that there are two-way causality-in- variance among variables. The strength of this causality especially rises in the normal market conditions but is weak in the upper quantiles except from BTC to DJI and from WTI to DJI. In terms of causality-in-mean, there is one-way causality from DJI to WTI in only a medium quantile.

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confidence: 59%

Section: Stock's Interaction With the Commodity Marketmentioning

confidence: 99%

On the Linkage between Bitcoin, Islamic Stocks, and Oil Prices

ALJASEM¹

2022

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“…There are also papers related to the linkages between crude oil and stock markets (Singhal et al [12], Çatık et al [13], Zaighum et al [14]). Singhal et al [12] studied the dynamic relationship between international oil prices (WTI), gold prices, Mexican stock market index (BMV IPC) and Mexican peso-US Dollar exchange rate in the period from January 2006 to April 2018.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The results showed that the impact of oil price returns differed clearly over time and often had a smaller effect on sectoral returns compared with Turkish lira-US Dollar exchange rate returns. Zaighum et al [14] analysed nonlinear relationship between the Dow Jones Islamic Market Index (DJIMI) and the prices of WTI crude oil, gasoline, natural gas, and heating oil. In the long-and short-term, they observed a strong positive reaction of crude oil and gasoline to the DJIMI, whereas heating oil prices responded inversely to the DJIMI.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of Interrelationships between Markets of Fuels in the Visegrad Group Countries from 2016 to 2020

Górska

Krawiec

2021

Energies

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A fuel market is an important sector of the economy and fuel prices influence the prices of numerous products and services. This paper focuses on the analysis of the interrelationships between markets of fuels in the Visegrad Group (V4) countries. The research is based on weekly prices of Pb95 gasoline and diesel in the Czech Republic, Hungary, Poland, and Slovakia observed from January 2016 through December 2020. After performing the preliminary statistical analysis, the long-term relationships between the prices of fuels are investigated through application of the cointegrated regression Durbin–Watson (CRDW) test. Next, Granger causality is tested to answer the question of whether changes in prices of fuels in separate V4 countries Granger-cause changes in prices of fuels in other V4 countries. The cointegration research uses logarithmic prices, whereas causality investigation is based on their first differences. The results reveal long-term relationships between the prices of Pb95 gasoline in the Czech Republic and prices in other V4 countries as well as Granger causality flowing from diesel price changes in Poland to diesel price changes in other V4 countries and bilateral causation between changes in the prices of Pb95 gasoline in Poland, Hungary and Slovakia.

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“…Majid & Mohd. Yusof, 2006), inflation rate (Naifar, 2016), short term interest rate (Bahloul et al, 2017), industrial production index, an exchange rate (Prima Aziz et al, 2020), oil prices (Abdulkarim et al, 2020) and energy prices (Zaighum et al, 2021) are affected by economic and financial variables. In addition, according to the study of Işık (2013), information technologies influence Turkish economy using the ARDL model estimator in the short and long run.…”

Section: Introductionmentioning

confidence: 99%

Is the performance of the companies operating in the participation index in the Turkish economy affected by the macroeconomic perspective?

Avci

Sarıgül

2022

Journal of Ekonomi

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This study aims to examine whether the participation index performance in the Turkish economy is going well in terms of macroeconomic factors over the period of January 2018March 2021. In this study, the cointegration between the variables is checked with the ARDL bound test and the Johansen cointegration method. The long-term coefficients are estimated through the ARDL model. Finally, the causal linkage among the participation index performance and traditional stock market index, short-term interest rate, money supply, and the inflation rate is tested with the Toda-Yamamoto causality method. The main empirical findings are shown as in the following: 1) there is cointegration between the Participation index performance and traditional stock market index, short-term interest rate, money supply, and inflation rate under the structural break, 2) the traditional stock market index and money supply improve the Participation index performance in Turkish economy while short-term interest rates hamper it, and 3) there is a two-way causality between the participation index performance and the traditional stock market index and inflation rate, and a one-way causality relationship running from money supply and interest rates to Participation index performance. These evidences provide important suggestions to investors in terms of portfolio diversification and to policymakers in the light of risk allocation and market policies.

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Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach

Cited by 16 publications

References 73 publications

On the Linkage between Bitcoin, Islamic Stocks, and Oil Prices

On the Linkage between Bitcoin, Islamic Stocks, and Oil Prices

Analysis of Interrelationships between Markets of Fuels in the Visegrad Group Countries from 2016 to 2020

Is the performance of the companies operating in the participation index in the Turkish economy affected by the macroeconomic perspective?

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