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The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach

This study extends the existing literature by examining the impact of oil prices on the Dow Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical estimations are used to provide an in-depth understanding of the sensitivity of stock indices towards oil price fluctuat...

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Main Authors: Chang, Bisharat Hussain, Sharif, Arshian, Aman, Ameenullah, Mohd Suki, Norazah, Salman, Asma, Khan, Syed Abdul Rehman
Format: Article
Language:English
Published: Elsevier Ltd. 2020
Subjects:
HD28 Management. Industrial Management
Online Access:http://repo.uum.edu.my/27268/1/RP%2065%202020%201%2012.pdf
http://repo.uum.edu.my/27268/
http://doi.org/10.1016/j.resourpol.2019.101571
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spelling my.uum.repo.272682020-07-26T08:10:29Z http://repo.uum.edu.my/27268/ The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach Chang, Bisharat Hussain Sharif, Arshian Aman, Ameenullah Mohd Suki, Norazah Salman, Asma Khan, Syed Abdul Rehman HD28 Management. Industrial Management This study extends the existing literature by examining the impact of oil prices on the Dow Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical estimations are used to provide an in-depth understanding of the sensitivity of stock indices towards oil price fluctuation. Quantile unit root test and quantile cointegration tests are used to examine the integrating properties of the underlying variables. Moreover, we use Quantile-on-Quantile (QQ) approach to examine the impact across diverse quantiles of explanatory and outcome variables. Findings of the QQ estimate indicates that lower (upper) quantiles of oil prices negatively affect the upper (lower) quantiles of the DJ Islamic index. In addition, either upper or lower quantiles of both markets indicate a positive relationship. The findings for financial sector, healthcare sector, consumer goods, consumer services, oil & gas sector, utility sector, and industrial sector are consistent with the findings of DJ Islamic index. Finally, for basic material, technology and telecommunication sectors, a positive relationship is found across different quantiles. This study provides policy implications based on the findings of these enhanced methodologies. Elsevier Ltd. 2020 Article PeerReviewed application/pdf en http://repo.uum.edu.my/27268/1/RP%2065%202020%201%2012.pdf Chang, Bisharat Hussain and Sharif, Arshian and Aman, Ameenullah and Mohd Suki, Norazah and Salman, Asma and Khan, Syed Abdul Rehman (2020) The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. Resources Policy, 65. pp. 1-12. ISSN 03014207 http://doi.org/10.1016/j.resourpol.2019.101571 doi:10.1016/j.resourpol.2019.101571
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutional Repository
url_provider http://repo.uum.edu.my/
language English
topic HD28 Management. Industrial Management
spellingShingle HD28 Management. Industrial Management
Chang, Bisharat Hussain
Sharif, Arshian
Aman, Ameenullah
Mohd Suki, Norazah
Salman, Asma
Khan, Syed Abdul Rehman
The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach
description This study extends the existing literature by examining the impact of oil prices on the Dow Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical estimations are used to provide an in-depth understanding of the sensitivity of stock indices towards oil price fluctuation. Quantile unit root test and quantile cointegration tests are used to examine the integrating properties of the underlying variables. Moreover, we use Quantile-on-Quantile (QQ) approach to examine the impact across diverse quantiles of explanatory and outcome variables. Findings of the QQ estimate indicates that lower (upper) quantiles of oil prices negatively affect the upper (lower) quantiles of the DJ Islamic index. In addition, either upper or lower quantiles of both markets indicate a positive relationship. The findings for financial sector, healthcare sector, consumer goods, consumer services, oil & gas sector, utility sector, and industrial sector are consistent with the findings of DJ Islamic index. Finally, for basic material, technology and telecommunication sectors, a positive relationship is found across different quantiles. This study provides policy implications based on the findings of these enhanced methodologies.
format Article
author Chang, Bisharat Hussain
Sharif, Arshian
Aman, Ameenullah
Mohd Suki, Norazah
Salman, Asma
Khan, Syed Abdul Rehman
author_facet Chang, Bisharat Hussain
Sharif, Arshian
Aman, Ameenullah
Mohd Suki, Norazah
Salman, Asma
Khan, Syed Abdul Rehman
author_sort Chang, Bisharat Hussain
title The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach
title_short The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach
title_full The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach
title_fullStr The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach
title_full_unstemmed The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach
title_sort asymmetric effects of oil price on sectoral islamic stocks: new evidence from quantile-on-quantile regression approach
publisher Elsevier Ltd.
publishDate 2020
url http://repo.uum.edu.my/27268/1/RP%2065%202020%201%2012.pdf
http://repo.uum.edu.my/27268/
http://doi.org/10.1016/j.resourpol.2019.101571
_version_ 1674068761249841152
score 13.211869

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