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Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets

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  • Salokhiddin Avazkhodjaev

    (Graduate School of Business, Universiti Kebangsaan Malaysia, Bangi, Malaysia, & Faculty of Finance, Tashkent Institute of Finance, Tashkent, Uzbekistan,)

  • Farkhod Mukhamedov

    (Faculty of Finance, Tashkent Institute of Finance, Tashkent, Uzbekistan)

  • Jaloliddin Usmonov

    (Binary University of Management & Entrepreneurship, Puchong, Malaysia)

Abstract

This paper examines the influence of Islamic stock price uncertainty on energy and gold commodity prices by using daily data from September 25, 2014 to March 12, 2021. We employ th? MG?RCH-M m?d?l with DCC and BEKK approaches t? assess interrelationship selected series. Based on empirical estimations, we achieved the following results. Firstly, empirical results from MG?RCH M m?d?l estimations Islamic stock price uncertainty have ? signific?nt positive effect ?n energy and gold commodities price. Secondly, non-causality tests results bared bi-directional variance transmissions of Islamic stock prices and the conditional variations of energy and gold commodities prices. Finally, for the pre-pandemic periods, results of the GIRF analaysis provided that the innovation sh?cks ?f Islamic stock price returns have ? negative effects ?n energy and gold price uncertainty. Indeed, for the response of ongoing pandemic periods shows Islamic stock price returns have ? negative interact ?n commodities price volatility, except energy stock price.

Suggested Citation

  • Salokhiddin Avazkhodjaev & Farkhod Mukhamedov & Jaloliddin Usmonov, 2022. "Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 197-208, May.
    • Handle: RePEc:eco:journ2:2022-03-21
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    More about this item

    Keywords

    Energy; gold and DJ Islamic stock prices; MGARCH-M; Volatility modelling;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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