Co-movement between some commodities and the Dow Jones Islamic Index: A Wavelet analysis

Heni Boubaker (heniboubaker@gmail.com) and Hichem Rezgui (hichem.rezgui@uir.ac.ma)
Additional contact information
Heni Boubaker: International University of Rabat, RBS College of Management, BEARLab
Hichem Rezgui: International University of Rabat, RBS College of Management, BEARLab

Economics Bulletin, 2020, vol. 40, issue 1, 574-586

Abstract: The objective of this paper is to study the common movement of three commodities (Oil, gas and gold) and the Dow Jones Islamic Market index (DJIM) using daily price observations, covering the period from January 2, 2006 to February 21, 2019. The Wavelet Squared Coherence (WSC) indicates that there is a co-movement between DJIM and oil prices and to a lesser extent with the price of gas, notably for the long run. However, a decline in dependence observed in 2014 confirms a gradual comeback to the situation before 2008. Moreover, using the Windowed Scalogram Difference (WSD), we confirm these findings but we detect other elements such as a more regular relationship between gas and Islamic stock. The results show that investors in Islamic stock market indices do not base their decisions on oil, gas or gold prices.

Keywords: Islamic; equity; –commodity; –; co-movement; -; Wavelet; approach (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2020-02-22
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2020/Volume40/EB-20-V40-I1-P49.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-19-00821

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley (j.p.conley@vanderbilt.edu).