Journal article
Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS
Energy Economics, Vol.92, Art. 104985
2020
Abstract
This paper uses threshold GARCH (TGARCH) and generalised forecast error variance decomposition to compute time domain and frequency domain volatility spillover. The spillover technique is then applied to Islamic and conventional stock indices and crude oil in BRICS countries (Brazil, Russia, India, China, and South Africa), thus informing investors about the magnitude and speed of the volatility spillover. We find that the total volatility spillover is driven mainly by a long-term component. Accordingly, these assets are suitable for investors with short- and medium-term investment horizons. However, analysis reveals that volatility spillover magnitude and speed increase substantially during the global financial crisis, suggesting that investors in Brazil, Russia, and South Africa with stocks in their portfolio should rebalance promptly. Dynamic covariance analysis shows that covariance between Islamic and conventional stock index returns is the highest and exhibit a significant increase during the crisis period.
Details
- Title
- Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS
- Authors/Creators
- K. Hassan (Author/Creator) - Murdoch UniversityA. Hoque (Author/Creator) - Murdoch UniversityM. Wali (Author/Creator) - Curtin UniversityD. Gasbarro (Author/Creator) - Murdoch University
- Publication Details
- Energy Economics, Vol.92, Art. 104985
- Publisher
- Elsevier B.V.
- Identifiers
- 991005543841407891
- Copyright
- © 2020 Published by Elsevier B.V.
- Murdoch Affiliation
- Do not use- Former Murdoch Business School
- Language
- English
- Resource Type
- Journal article
UN Sustainable Development Goals (SDGs)
This output has contributed to the advancement of the following goals:
Source: InCites
Metrics
130 Record Views
InCites Highlights
These are selected metrics from InCites Benchmarking & Analytics tool, related to this output
- Collaboration types
- Domestic collaboration
- Citation topics
- 6 Social Sciences
- 6.10 Economics
- 6.10.80 Market Interdependencies
- Web Of Science research areas
- Economics
- ESI research areas
- Economics & Business