Do geopolitical oil price risk, global macroeconomic fundamentals relate Islamic and conventional stock market? Empirical evidence from QARDL approach

Kashif Abbass, Arshian Sharif (), Huaming Song, Malik Tayyab Ali, Farina Khan and Nabila Amin

Resources Policy, 2022, vol. 77, issue C

Abstract: This study examines how the geopolitical oil price risk index, global gold price, global interest rate, and global exchange rate affect Islamic and conventional securities. For empirical estimation, this study has applied Quantile Autoregressive Distributive lag (QARDL) method on the monthly return of the Dow Jones conventional stock market index and Dow Jones Islamic Market World Index from January 2000 to November 2020. The primary variable of concern, geopolitical oil price risk, shows significant results for both securities under the bullish situation. Furthermore, under a bearish trend, the global exchange rate and the global interest rate of the Islamic stock market act in a similar direction. Although in conventional securities, both variables are significant in a bullish trend. The findings of this paper are important for investors and policymakers because this study provides a clear and comprehensive picture to shareholders in terms of their investments in Islamic or traditional markets. Moreover, it will open new opportunities for portfolio managers and speculators in Islamic and conventional stock markets.

Keywords: Geopolitical oil price risk; Gold price; Global interest rate; Global exchange rate; Islamic stock market; QARDL (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722001787
Full text for ScienceDirect subscribers only

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:eee:jrpoli:v:77:y:2022:i:c:s0301420722001787

DOI: 10.1016/j.resourpol.2022.102730

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().