Journal article
Separating BRIC using Islamic stocks and crude oil: Dynamic conditional correlation and volatility spillover analysis
Energy Economics, Vol.80, pp.950-969
2019
Abstract
This paper explores the dynamic conditional correlation and volatility linkage between Islamic indexes and oil for BRIC countries. Correlations between these assets increase during the global financial crisis for India and China but not for Brazil and Russia. The volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil. Hedging performance of Islamic indexes are superior in India and China compared to conventional indexes in emerging markets. An optimal minimum-variance portfolio without reducing expected return can be achieved by investing in lower weights of BRIC Islamic indexes and oil compared to conventional indexes.
Details
- Title
- Separating BRIC using Islamic stocks and crude oil: Dynamic conditional correlation and volatility spillover analysis
- Authors/Creators
- K. Hassan (Author/Creator)A. Hoque (Author/Creator)D. Gasbarro (Author/Creator)
- Publication Details
- Energy Economics, Vol.80, pp.950-969
- Publisher
- Elsevier B.V.
- Identifiers
- 991005543308507891
- Copyright
- © 2019 Elsevier B.V.
- Murdoch Affiliation
- School of Business and Governance
- Language
- English
- Resource Type
- Journal article
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- Citation topics
- 6 Social Sciences
- 6.10 Economics
- 6.10.80 Market Interdependencies
- Web Of Science research areas
- Economics
- ESI research areas
- Economics & Business