Chang, Bisharat Hussain and Sharif, Arshian and Aman, Ameenullah and Mohd Suki, Norazah and Salman, Asma and Khan, Syed Abdul Rehman (2020) The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. Resources Policy, 65. pp. 1-12. ISSN 03014207

PDF Restricted to Registered users only Download (3MB) | Request a copy

Abstract

This study extends the existing literature by examining the impact of oil prices on the Dow Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical estimations are used to provide an in-depth understanding of the sensitivity of stock indices towards oil price fluctuation. Quantile unit root test and quantile cointegration tests are used to examine the integrating properties of the underlying variables. Moreover, we use Quantile-on-Quantile (QQ) approach to examine the impact across diverse quantiles of explanatory and outcome variables. Findings of the QQ estimate indicates that lower (upper) quantiles of oil prices negatively affect the upper (lower) quantiles of the DJ Islamic index. In addition, either upper or lower quantiles of both markets indicate a positive relationship. The findings for financial sector, healthcare sector, consumer goods, consumer services, oil & gas sector, utility sector, and industrial sector are consistent with the findings of DJ Islamic index. Finally, for basic material, technology and telecommunication sectors, a positive relationship is found across different quantiles. This study provides policy implications based on the findings of these enhanced methodologies.

Item Type:	Article
Uncontrolled Keywords:	Oil price, Islamic stock indices, Sectoral stocks, Quantile-on-Quantile approach
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	Othman Yeop Abdullah Graduate School of Business
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	26 Jul 2020 08:10
Last Modified:	26 Jul 2020 08:10
URI:	https://repo.uum.edu.my/id/eprint/27268

Actions (login required)

View Item