Linkages Between Crude Oil and the Islamic Stock Market

Evidence from Islamic Stock Market in Asian Countries

DOI

10.2991/aebmr.k.201222.025How to use a DOI?

Keywords

MGARCH-BEKK, Volatility, Crude Oil, Islamic Stock, Spillover

Abstract

In this paper, the impact of oil price shocks on the stock exchanges of Asian Countries – Saudi Arabia, Singapore, India, Pakistan, Philippines, Thailand, Indonesia, China, Taiwan, South Korea, Japan, and Turkey – was examined through the GARCH BEKK method. For the research, daily data from the stock exchanges, and the oil price were collected between December 2011–June 2020. According to the results, several countries affect the rate of return of the oil market on the daily data. The full period of daily data shows that some countries have volatility spillovers such as China, South Korea, Thailand, Philippines, Singapore, Taiwan and Turkey. For the normal period, only four countries have volatility spillovers, namely Saudi Arabia, Philippines, Taiwan and Turkey, and during the COVID-19, all countries have volatility spillovers to the oil market. Meanwhile, the Philippines, Taiwan and Turkey have volatility spillovers for all periods. During the COVID-19 period, volatility spillovers increased. In order to stabilize their stock prices, these countries should decrease their dependencies to the oil market.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Tandya Vera Devi
AU  - Muhammad Budi Prasetyo
PY  - 2020
DA  - 2020/12/23
TI  - Linkages Between Crude Oil and the Islamic Stock Market
BT  - Proceedings of the International Conference on Business and Management Research (ICBMR 2020)
PB  - Atlantis Press
SP  - 170
EP  - 176
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.201222.025
DO  - 10.2991/aebmr.k.201222.025
ID  - Devi2020
ER  -