Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis
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 o...
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| Veröffentlicht in: | Energy economics 2019-05, Vol.80, p.950-969 |
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| creator | Hassan, Kamrul Hoque, Ariful Gasbarro, Dominic |
| description | 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.
•Correlations between crude oil and Islamic stock in BRIC are not very high.•Correlation increases during global financial crisis in China and India.•Volatility spillover among Islamic stocks and crude oil in BRIC is not very high.•Islamic stocks provide better hedging performance in China and India.•China and India provide better diversification benefit. |
| doi_str_mv | 10.1016/j.eneco.2019.02.016 |
| format | Article |
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•Correlations between crude oil and Islamic stock in BRIC are not very high.•Correlation increases during global financial crisis in China and India.•Volatility spillover among Islamic stocks and crude oil in BRIC is not very high.•Islamic stocks provide better hedging performance in China and India.•China and India provide better diversification benefit.</description><identifier>ISSN: 0140-9883</identifier><identifier>EISSN: 1873-6181</identifier><identifier>DOI: 10.1016/j.eneco.2019.02.016</identifier><language>eng</language><publisher>Kidlington: Elsevier B.V</publisher><subject>Correlation ; Correlation analysis ; Crude oil ; Dynamic conditional ; Economic crisis ; Economic models ; Emerging markets ; Energy economics ; Global financial crisis ; Hedging ; Indexes ; International finance ; Islam ; Islamic indexes ; Markets ; Performance indices ; Petroleum ; Spillover ; Stocks ; Volatility</subject><ispartof>Energy economics, 2019-05, Vol.80, p.950-969</ispartof><rights>2019 Elsevier B.V.</rights><rights>Copyright Elsevier Science Ltd. May 2019</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c441t-8db56850834644282ac4c6b80c6795c4e61472f937632e6c3b690926d5d26f5d3</citedby><cites>FETCH-LOGICAL-c441t-8db56850834644282ac4c6b80c6795c4e61472f937632e6c3b690926d5d26f5d3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.eneco.2019.02.016$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3536,27845,27903,27904,45974</link.rule.ids></links><search><creatorcontrib>Hassan, Kamrul</creatorcontrib><creatorcontrib>Hoque, Ariful</creatorcontrib><creatorcontrib>Gasbarro, Dominic</creatorcontrib><title>Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis</title><title>Energy economics</title><description>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.
•Correlations between crude oil and Islamic stock in BRIC are not very high.•Correlation increases during global financial crisis in China and India.•Volatility spillover among Islamic stocks and crude oil in BRIC is not very high.•Islamic stocks provide better hedging performance in China and India.•China and India provide better diversification benefit.</description><subject>Correlation</subject><subject>Correlation analysis</subject><subject>Crude oil</subject><subject>Dynamic conditional</subject><subject>Economic crisis</subject><subject>Economic models</subject><subject>Emerging markets</subject><subject>Energy economics</subject><subject>Global financial crisis</subject><subject>Hedging</subject><subject>Indexes</subject><subject>International finance</subject><subject>Islam</subject><subject>Islamic indexes</subject><subject>Markets</subject><subject>Performance indices</subject><subject>Petroleum</subject><subject>Spillover</subject><subject>Stocks</subject><subject>Volatility</subject><issn>0140-9883</issn><issn>1873-6181</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2019</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><recordid>eNp9UE1LxDAQDaLguvoLvBQ8t-araSp40MWPhQXBj3PIJqmkxqYm7UL_vemuZ0_z5s17w8wD4BLBAkHErtvCdEb5AkNUFxAXiTsCC8QrkjPE0TFYQERhXnNOTsFZjC2EsGQlX4DxzfQyyMF2n9n963qVjXGG6-jkt1VZHLz6ipnsdKbCqE3mrbvJ9NTtp8p32g7Wd9IlHIJxcu728p2fG2eHKYu9dc7vTEgD6aZo4zk4aaSL5uKvLsHH48P76jnfvDytV3ebXFGKhpzrbcl4CTmhjFLMsVRUsS2HilV1qahhiFa4qUnFCDZMkS2rYY2ZLjVmTanJElwd9vbB_4wmDqL1Y0hHRIFxRSpKIayTihxUKvgYg2lEH-y3DJNAUMz5ilbs8xVzvgJikbjkuj24THpgZ00QUVnTKaNtMGoQ2tt__b8fCoVV</recordid><startdate>20190501</startdate><enddate>20190501</enddate><creator>Hassan, Kamrul</creator><creator>Hoque, Ariful</creator><creator>Gasbarro, Dominic</creator><general>Elsevier B.V</general><general>Elsevier Science Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>7ST</scope><scope>7TA</scope><scope>7TQ</scope><scope>8BJ</scope><scope>8FD</scope><scope>C1K</scope><scope>DHY</scope><scope>DON</scope><scope>FQK</scope><scope>JBE</scope><scope>JG9</scope><scope>SOI</scope></search><sort><creationdate>20190501</creationdate><title>Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis</title><author>Hassan, Kamrul ; Hoque, Ariful ; Gasbarro, Dominic</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c441t-8db56850834644282ac4c6b80c6795c4e61472f937632e6c3b690926d5d26f5d3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2019</creationdate><topic>Correlation</topic><topic>Correlation analysis</topic><topic>Crude oil</topic><topic>Dynamic conditional</topic><topic>Economic crisis</topic><topic>Economic models</topic><topic>Emerging markets</topic><topic>Energy economics</topic><topic>Global financial crisis</topic><topic>Hedging</topic><topic>Indexes</topic><topic>International finance</topic><topic>Islam</topic><topic>Islamic indexes</topic><topic>Markets</topic><topic>Performance indices</topic><topic>Petroleum</topic><topic>Spillover</topic><topic>Stocks</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Hassan, Kamrul</creatorcontrib><creatorcontrib>Hoque, Ariful</creatorcontrib><creatorcontrib>Gasbarro, Dominic</creatorcontrib><collection>CrossRef</collection><collection>Environment Abstracts</collection><collection>Materials Business File</collection><collection>PAIS Index</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>Technology Research Database</collection><collection>Environmental Sciences and Pollution Management</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>Materials Research Database</collection><collection>Environment Abstracts</collection><jtitle>Energy economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Hassan, Kamrul</au><au>Hoque, Ariful</au><au>Gasbarro, Dominic</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis</atitle><jtitle>Energy economics</jtitle><date>2019-05-01</date><risdate>2019</risdate><volume>80</volume><spage>950</spage><epage>969</epage><pages>950-969</pages><issn>0140-9883</issn><eissn>1873-6181</eissn><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.
•Correlations between crude oil and Islamic stock in BRIC are not very high.•Correlation increases during global financial crisis in China and India.•Volatility spillover among Islamic stocks and crude oil in BRIC is not very high.•Islamic stocks provide better hedging performance in China and India.•China and India provide better diversification benefit.</abstract><cop>Kidlington</cop><pub>Elsevier B.V</pub><doi>10.1016/j.eneco.2019.02.016</doi><tpages>20</tpages><oa>free_for_read</oa></addata></record> |
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| identifier | ISSN: 0140-9883 |
| ispartof | Energy economics, 2019-05, Vol.80, p.950-969 |
| issn | 0140-9883 1873-6181 |
| language | eng |
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| source | PAIS Index; Elsevier ScienceDirect Journals |
| subjects | Correlation Correlation analysis Crude oil Dynamic conditional Economic crisis Economic models Emerging markets Energy economics Global financial crisis Hedging Indexes International finance Islam Islamic indexes Markets Performance indices Petroleum Spillover Stocks Volatility |
| title | Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis |
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