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Oil price and the global conventional and islamic stock markets: Is the relationship symmetric or asymmetric ? evidence from nonlinear ARDL

Ibrahim Opeyemi Adediran and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: The objective of this study is to investigate the relationship between the global oil and stock markets using the Islamic and conventional global stock indexes. We test the short- and long-run asymmetric impact of oil prices on both the conventional and Islamic stock prices in the global markets. The nonlinear ARDL approach developed by Shin et al.(2014) is utilized to examine the asymmetric relationship between the variables. The results tend to indicate that the impact of oil prices on stock prices is asymmetric during the short-run for both the Islamic and conventional stock markets. However, the long-run asymmetric relationship exists for the impact of the Oil price on Islamic stocks only and not on conventional stocks.The results carry important policy implications for the investors and policymakers.

Keywords: global oil and stock markets; ARDL; NARDL; causality (search for similar items in EconPapers)
JEL-codes: C22 C58 G15 (search for similar items in EconPapers)
Date: 2018-12-30
New Economics Papers: this item is included in nep-ene and nep-isf
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