Catalog Home Page

Separating BRIC using Islamic stocks and crude oil: Dynamic conditional correlation and volatility spillover analysis

Hassan, K., Hoque, A.ORCID: 0000-0001-8369-6653 and Gasbarro, D. (2019) Separating BRIC using Islamic stocks and crude oil: Dynamic conditional correlation and volatility spillover analysis. Energy Economics, 80 . pp. 950-969.

[img]
PDF - Authors' Version
Embargoed until February 2021.

Link to Published Version: https://doi.org/10.1016/j.eneco.2019.02.016
*Subscription may be required

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.

Item Type: Journal Article
Murdoch Affiliation: School Of Business and Governance
Publisher: Elsevier B.V.
Copyright: © 2019 Elsevier B.V.
URI: http://researchrepository.murdoch.edu.au/id/eprint/43888
Item Control Page Item Control Page