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CC BY V4.0, Open Access
Journal article
Exploring the Dynamic Link Between Crude Oil and Islamic Stock Returns: A BRIC Perspective During the GFC
Journal of risk and financial management, Vol.18(7), 402
2025
Abstract
This study examines the relationship between crude oil returns (CRT) and Islamic stock returns (ISR) in BRIC countries during the Global Financial Crisis (GFC), employing wavelet-based comovement analysis and regression models that incorporate both contemporaneous and lagged CRT across 40 cases. The wavelet analysis reveals strong long-term comovement at low frequencies between ISR and CRT during the GFC. Contemporaneous regressions show that increases (decreases) in CRT align with corresponding movements in ISR. Lagged regressions indicate that CRT can predict ISR up to one week ahead for Brazil, Russia, and China, and up to two weeks for India, although the predictive strength weakens beyond this window. These findings challenge the perception that Islamic stocks were immune to the GFC, showing they were affected by global oil market dynamics, albeit with varying degrees of resilience across countries and time horizons.
Details
- Title
- Exploring the Dynamic Link Between Crude Oil and Islamic Stock Returns: A BRIC Perspective During the GFC
- Authors/Creators
- Tanvir Bhuiyan - Murdoch University, College of BusinessAriful Hoque - Murdoch University, College of Business
- Publication Details
- Journal of risk and financial management, Vol.18(7), 402
- Publisher
- MDPI
- Identifiers
- 991005796267307891
- Copyright
- © 2025 by the authors.
- Murdoch Affiliation
- College of Business
- Language
- English
- Resource Type
- Journal article
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