Volatility Spillovers Effects between Energy Commodities and Islamic Stock Markets

IF 0.7 Q4 BUSINESS, FINANCE

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2024-06-07 DOI:10.21315/aamjaf2024.20.1.7

Mehmet Hüseyin Bilgin, G. Vardar, Berna Aydoğan, Evan Lau, Fakültesi Dekanlığı, Güney Yerleşkesi, A. Blok, Dumlupınar Kat, Mahallesi D-100, Kadıköy Istanbul Turkey Karayolu

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引用次数: 0

Abstract

Empirical research exploring the relationship between capital markets and energy prices plays a crucial role in shaping policies for the growth of the Islamic financial system. This study aims to investigate potential shock transmission and volatility spillover effects among Islamic stock indices from selected Middle East and Northern Africa countries as well as crude oil prices and natural gas, over the period from August 2007 to September 2020. Applying VAR-BEKK-GARCH representation, the results reveal the evidence of bidirectional cross-market shock and volatility spillover effects between Kuwait and Qatar Islamic stock indexes, crude oil prices, and natural gas. Moreover, the results indicate the existence of bidirectional/unidirectional shock and volatility spillovers between Islamic indexes and all other variables, meaning there are information flows between these variables in all four countries except Turkey. Regarding the results of volatility spillovers, there is no spillover effect between Turkey’s MSCI Islamic index and Brent crude oil. These findings bear significant implications for portfolio management, offering valuable insights to financial market participants for making improved portfolio allocation decisions. Also, comprehending the volatility transmission mechanism across these markets is vital to provide policymakers and regulatory authorities with insight into the impact of energy prices on Islamic stock markets.

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能源商品与伊斯兰股票市场之间的波动溢出效应

探索资本市场与能源价格之间关系的实证研究在制定促进伊斯兰金融体系发展的政策方面发挥着至关重要的作用。本研究旨在调查 2007 年 8 月至 2020 年 9 月期间，部分中东和北非国家的伊斯兰股票指数以及原油价格和天然气之间潜在的冲击传递和波动溢出效应。应用 VAR-BEKKK-GARCH 表示法，结果显示科威特和卡塔尔伊斯兰股票指数、原油价格和天然气之间存在双向跨市场冲击和波动溢出效应。此外，结果表明，伊斯兰指数与所有其他变量之间存在双向/单向冲击和波动溢出效应，这意味着除土耳其外，所有四个国家的这些变量之间都存在信息流。关于波动溢出效应的结果，土耳其 MSCI 伊斯兰指数与布伦特原油之间不存在溢出效应。这些发现对投资组合管理具有重要意义，为金融市场参与者改进投资组合配置决策提供了宝贵的见解。此外，了解这些市场的波动传导机制对于决策者和监管机构深入了解能源价格对伊斯兰股票市场的影响也至关重要。

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来源期刊

Asian Academy of Management Journal of Accounting and Finance BUSINESS, FINANCE-

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets