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Asymmetric volatility connectedness between Islamic stock and commodity markets

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  • Suleman, Muhammad Tahir
  • McIver, Ron
  • Kang, Sang Hoon

Abstract

This paper examines the asymmetric volatility connectedness amongst the Dow Jones Islamic Market Index (DJIM) and the Brent crude oil, gold, and silver markets. We use the Diebold and Yilmaz methodology to examine asymmetric volatility connectedness associated with bad (negative semi-variance) and good (positive semi-variance) volatility in these markets. We identify significant volatility connectedness between the DJIM and commodity markets, with the DJIM and Brent oil markets being the largest net contributors of spillovers. Furthermore, the evidence on semi-volatility connectedness displays asymmetric behavior. Bad volatilities are associated with net transmission of spillovers to other markets, except for silver. Our results have significant implications for investors dealing with the DJIM and commodity markets in terms of asset management and diversification.

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  • Suleman, Muhammad Tahir & McIver, Ron & Kang, Sang Hoon, 2021. "Asymmetric volatility connectedness between Islamic stock and commodity markets," Global Finance Journal, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:glofin:v:49:y:2021:i:c:s104402832100051x
    DOI: 10.1016/j.gfj.2021.100653
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    More about this item

    Keywords

    Asymmetric volatility connectedness; Network connectedness; DJIM; Commodity; Realized volatility; Semi-variances;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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