Measuring risk transmission between international oil and islamic stock markets: A comparative analysis with the gold markets

Fahmi Ghallabi, Ahmed Ghorbel, Satish Kumar and Arshian Sharif ()

International Review of Economics & Finance, 2024, vol. 95, issue C

Abstract: An asymmetric dynamic conditional correlation-conditional value-at-risk (ADCC-CoVaR) method was used in examining the spillover of risk between gold, oil, and the Islamic stock indices between January 1, 2016, and July 6, 2023. The study evidenced increasing conditional correlations between these indices amidst the COVID-19 crisis. The findings indicate a generally significant transmission of downside and upside risks across all market pairs throughout the cumulative distributions and below (above) the 10th (90th) decile. Overall, the spillover of downside risk is considerably more heightened than that of upside risk, irrespective of the market pair and the direction of conditioning, with the exception of a few pairs, such as GOLD/DJI, DJIF/WTI, WTI/DJIF, WTI/DJIT and GOLD/DJII, where this pattern is not observed. In most cases, the risk spillover among the studied markets is not different based on their spillover direction. Amid the COVID-19 crisis, WTI offers improved diversification and advantages in terms of risk reduction with Islamic stock indices and vice versa. However, as compared to other Islamic indices, oil offers less diversification and risk reduction advantages within the Islamic financial sector, and vice versa. These findings hold significance for effective portfolio rebalancing and risk management practices.

Keywords: Islamic markets; Oil; Gold; Risk transmission; COVID-19 crisis (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S105905602400457X
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:reveco:v:95:y:2024:i:c:s105905602400457x

DOI: 10.1016/j.iref.2024.103465

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().