Artikel Jurnal :: Kembali

Artikel Jurnal :: Kembali

The nexus between oil price and islamic stock markets in Africa: A wavelet and multivariate-garch approach

Mustapha I. Akinlaso, Baharom Abdul Hamid, Hamisu S. Ali (Elsevier, 2020)

 Abstrak

The goal of this paper is to address the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018. We employed three main techniques: MODWT, CWT, and multivariate-GARCH-DCC, to analyze whether these markets have any diversification opportunities. Our findings reveal that, first, the results of MODWT shows Egyptian Islamic index leading all indices. Second, CWT results show that investors would gain diversification benefits in almost all markets (except South Africa) and enjoy the benefit that comes with long-term investments. Third, we observed low correlations between the Egyptian and Tunisian Islamic indices, with oil-price returns suggesting diversification benefits in these markets. Of all the Islamic stock markets, Tunisia's has the lowest volatility with the crude oil index. Investors holding a portfolio of these stocks can afford to have exposure in crude oil–related assets and achieve maximum diversification benefits.

 Metadata

Jenis Koleksi : Artikel Jurnal
No. Panggil : 658.15 BIR 20:2 (2020)
Entri utama-Nama orang :
Subjek :
Penerbitan : Amsterdam: Elsevier, 2020
Sumber Pengatalogan : LibUI eng rda
ISSN : 22148450
Majalah/Jurnal : Borsa Istanbul Review
Volume : Vol. 20, No. 2, June 2020: Hal. 108-120
Tipe Konten : text
Tipe Media : unmediated
Tipe Carrier : volume
Akses Elektronik :
Institusi Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 4 R. Koleksi Jurnal
  • Ketersediaan
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No. Panggil No. Barkod Ketersediaan
658.15 BIR 20:2 (2020) 08-24-61625173 TERSEDIA
Ulasan:
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