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Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis

Kamrul Hassan, Ariful Hoque and Dominic Gasbarro

Energy Economics, 2019, vol. 80, issue C, 950-969

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.

Keywords: Islamic indexes; Global financial crisis; Dynamic conditional; Correlation; Spillover (search for similar items in EconPapers)
JEL-codes: C1 C32 C58 G1 G11 F36 (search for similar items in EconPapers)
Date: 2019
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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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