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; Suki, Norazah Mohd; Salman, Asma; Khan, Syed Abdul Rehman

doi:10.1016/j.resourpol.2019.101571

Cited by 147 publications

(63 citation statements)

References 92 publications

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“…Similarly, from Table 4 , the non-linearity among series is further endorsed by BDS (1996) test, where the null hypothesis of non-linearity is accepted in both series across all States. Based on the JB test and BDS test of nonlinearity, it is evident that both variables having a nonlinearity in all states, therefore, the estimations of quantiles are recommended following ( Shahbaz et al, 2018 ; Mishra et al, 2019 ; Sharif et al, 2019a ; Sharif et al 2019b , 2020 ; Chang et al, 2020 ; Arain et al, 2020 ).…”

Section: Methodsmentioning

confidence: 99%

Asymmetric link between environmental pollution and COVID-19 in the top ten affected states of US: A novel estimations from quantile-on-quantile approach

Razzaq

Sharif

Aziz

et al. 2020

Environmental Research

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124

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This study draws the link between COVID-19 and air pollution (ground ozone O 3 ) from February 29, 2020 to July 10, 2020 in the top 10 affected States of the US. Utilizing quantile-on-quantile (QQ) estimation technique, we examine in what manner the quantiles of COVID-19 affect the quantiles of air pollution and vice versa. The primary findings confirm overall dependence between COVID-19 and air pollution. Empirical results exhibit a strong negative effect of COVID-19 on air pollution in New York, Texas, Illinois, Massachusetts, and Pennsylvania; especially at medium to higher quantiles, while New Jersey, Illinois, Arizona, and Georgia show strong negative effect mainly at lower quantiles. Contrarily, COVID-19 positively affects air pollution in Pennsylvania at extreme lower quantiles. On the other side, air pollution predominantly caused to increase in the intensity of COVID-19 cases across all states except lower quantiles of Massachusetts, and extreme higher quantiles of Arizona and New Jersey, where this effect becomes less pronounced or negative. Concludingly, a rare positive fallout of COVID-19 is reducing environmental pressure, while higher environmental pollution causes to increase the vulnerability of COVID-19 cases. These findings imply that air pollution is at the heart of chronic diseases, therefore the state government should consider these asymmetric channels and introduce appropriate policy measures to reset and control atmospheric emissions.

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Section: Methodsmentioning

confidence: 99%

Asymmetric link between environmental pollution and COVID-19 in the top ten affected states of US: A novel estimations from quantile-on-quantile approach

Razzaq

Sharif

Aziz

et al. 2020

Environmental Research

Self Cite

124

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“…In another study, Shahbaz et al ( 2018 ) found that energy consumption is positively related to economic growth. Sharif et al ( 2019 ), Chang et al ( 2020 ), and Jiang et al ( 2020 ) have since used the QQ method to explore globalization, stock markets, and oil. Lin and Su ( 2020 ) applied the QQ method to investigate the relationship between oil market uncertainty and stock markets; overall, negative effects were observed in most sample countries, especially during the depression of the Islamic stock market.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The modified TVP-VAR does not lose observations when utilizing a fixed window size during the empirical process, making our findings more reliable (Antonakakis and Gabauer 2017 ). Compared with the routine quantile regression model, the QQ method can explore the tail dependence structures in common market conditions (middle quantiles), bullish market conditions (higher quantiles), and bearish market conditions (lower quantiles) (Chang et al 2020 ). This will make our results dynamic and detailed.…”

Section: Introductionmentioning

confidence: 99%

Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

Jiang

Tian

2020

Financ Innov

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The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ Rev 99(3):1053–1069, 2009) and construct a structural vector autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources. Based on the decomposed oil price shocks, we apply the connectedness approach and QQ regression to find time-varying co-movements and tail dependence between oil price shocks and G7 stock returns. There is no general correlation between the decomposed oil prices and stock returns in these countries. The effects of oil price shocks on stock returns across different stock market conditions appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within the sample period.

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“…The study employs the QQ framework by selecting some uncertainty quantiles and by analyzing the local effect of conventional bonds market (CBM) and sukuk market (SM). In recent years, a remarkable work was done by using QQ approach to estimate the association between the variables at different bottom and top quantiles (Sharif, Afshan, and Qureshi, 2019;Chang et al, 2020;. Suppose, ISI represents the Islamic stock index of the country at time t. CBM and SM is the conventional bond market and sukuk market at time t, respectively.…”

Section: Quantile On Quantile Approachmentioning

confidence: 99%

Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression

Farooq

Meo

Ali

et al. 2020

JAFEE

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This study explores the asymmetric co-movement between conventional bonds market, sukuk market and Islamic stock markets of top ten Islamic economies. The study used daily data ranging from 1st January 2008 to 31st December 2019. However, for the dependency structure, we used Quantile-on-Quantile (QQ) method, which captures the dependence between the entire distributions of financial assets and uncovers some nuance features of the relationship. The empirical findings show that under the stress condition (bearish condition), both bonds and stocks markets negatively commove. However, in the bullish market condition, these markets show week positive correlation/ co-movement in all the sample economies. The findings also confirmed that under the bearish condition, a mild negative correlation exists between sukuk and Islamic stock markets except for Malaysia. However, in the bullish market condition, sukuk markets and stock markets show strong positive correlation in all sample economies. Furthermore, study also enriches quantiles estimation by using quantiles granger causality approach. The findings show that the conventional bond market, sukuk market and Islamic stock market granger cause to each other on all the quantiles (in bullish or bearish market conditions).

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The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach

Cited by 147 publications

References 92 publications

Asymmetric link between environmental pollution and COVID-19 in the top ten affected states of US: A novel estimations from quantile-on-quantile approach

Asymmetric link between environmental pollution and COVID-19 in the top ten affected states of US: A novel estimations from quantile-on-quantile approach

Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression

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