The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach

Lin, Boqiang; Su, Tong

doi:10.1016/j.eneco.2020.104759

Cited by 85 publications

(35 citation statements)

References 70 publications

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“…Our study contributes to the related literature in the following aspects: first, previous studies merely focused on either the extreme tail risk between oil and stock markets (Lin and Su 2020 ), or time-varying characteristics and directional risk contagion (Antonakakis et al 2017 ; Nadal et al 2017 ). We extend the literature (Bastianin et al 2016 ) about the relationship between oil price and G7′s stock returns by covering both aforementioned aspects and identifying the different oil shocks using the SVAR method proposed by Kilian ( 2009 ).…”

Section: Introductionmentioning

confidence: 94%

“…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%

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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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Section: Introductionmentioning

confidence: 94%

Section: Literature Reviewmentioning

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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“…This study concludes that Islamic shares can be a good hedge option when current stocks are vulnerable due to changes in oil prices. Lin and Su (2020) examines the relationship between the uncertainty of crude oil prices and the Islamic stock market. The results show that the relationship…”

Section: Literature Reviewmentioning

confidence: 99%

The Stability of the Indonesian Sharia Stock Index to Economic Shocks

Mubarok¹,

Arif²,

Mufraini³

2020

IQTISHADIA

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<p>The stock market has a strategic role in the development of a country's economy in the era of globalization, including the Islamic stock market. The rapid growth of the Islamic stock market, especially in developing countries, is a historical record in Indonesia's financial sector. This study aims to analyze the factors that influence the return of the Indonesian Sharia Stock Index (ISSI) in the short and long term, how long shocks occur, and how much the contribution of these factors. This study uses monthly time series data from January 2012 to December 2019 using the Vector Error Correction Model (VECM) method. VECM estimation results show the price of gold has a significant effect on the short and long term, while inflation has an impact on a long time. ISSI's return quickly reaches stability when it receives a shock from the exchange rate. The price of gold dominates the diversity of ISSI's performances. Stakeholders should consider several things that affect the ISSI return, pay attention to the economic climate, and anticipate quickly the shock that occurs.</p>

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“…(2019), Chang vd. (2020), Lin and Su (2020), Shahzad vd. (2020), our econometric model can be described as follows: SP_t=β^θ (〖COV〗_t )+μ_t^θ…”

Section: Extended Abstractmentioning

confidence: 99%

“…İlgili literatür incelendiğinde, KKR modelinin iki zaman serisi değişkeni arasındaki ilişkinin incelenmesinde sıklıkla kullanıldığı görülmektedir (Arif ve Khan, 2019;Bouoiyour, Selmi, Shahzad ve Shahbaz, 2017;Chang, Sharif, Aman, Suki, Salman ve Khan, 2020;Lin ve Su, 2020;Mallick, Padhan ve Mahalik, 2019;Mishra, Sharif, Khuntia, Meo ve Khan, 2019;Raza, Zaighum ve Shah, 2018;Rawat ve Arif, 2018;Shahzad, Shahbaz, Ferrer ve Kumar, 2017;Shahbaz, Zakaria ve Mahalik, 2018;Shahzad, Shahzad, Fareed, Iqbal, Hashmi ve Ahmad, 2020;Sharif, Afshan ve Qureshi, 2019;Sim ve Zhou, 2015).…”

Section: Introductionunclassified

The Impact of Coronavirus Pandemic on Airline Stocks: An Application of Quantile-on-Quantile Regression Model

Bağcı

Çıtak

Şişman

2020

Gaziantep University Journal of Social Sciences

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2019 yılının Aralık ayında Çin'in Wuhan şehrinde ortaya çıkan ve kısa sürede tüm dünyayı etkisi altına alan Koronavirüs (Kovid-19) salgını birçok sektörü olumsuz etkilemiştir. Bu süreçte, ülkeler virüsün yayılmasını engellemek için çeşitli seyahat kısıtlamaları getirerek bu süreci kontrol altında tutmak istemişlerdir. Salgının en erken ekonomik etkileri havacılık sektöründe hissedilmeye başlanmıştır. Bu durum, havayolu şirketlerinin finansal kayıplarını artırmıştır. Bu çalışmada, dünya genelinde raporlanan günlük Kovid-19 vaka sayılarının küresel havayolları şirketlerine ait hisse senetleri üzerindeki etkisi Kantil-Kantil regresyon yöntemi yardımıyla incelenmiştir. Elde edilen bulgulara göre, genel olarak hisse senedi fiyatlarının ele alınan dönemdeki en düşük değerlerinin vaka sayılarından daha güçlü negatif etkilenmiştir. Bir diğer ilginç bulgu ise, Asya merkezli havayolu şirketlerine ait hisse senedi fiyatları diğer havayolu şirketlerine gore daha az negatif etkilenmiştir.

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The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach

Cited by 85 publications

References 70 publications

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

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

The Stability of the Indonesian Sharia Stock Index to Economic Shocks

The Impact of Coronavirus Pandemic on Airline Stocks: An Application of Quantile-on-Quantile Regression Model

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