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Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد من الأسواق الإسلامية

Author

Listed:
  • Jihed Majdoub

    () (Institute Supérieur de Gestion, Université de Tunis, Tunisia)

  • Walid Mansour

    () (Saudi Arabian Monetary Authority, Saudi Arabia)

  • Islem Arrak

    () (Institute Supérieur de Finances et de Fiscalité, Université de Sousse, Tunisia)

Abstract

This paper studies the volatility spillover between Islamic equity markets and oil prices. We use a sample of five countries from the Gulf region. The results show that there is a reduction in the volatility spillover, particularly for the Saudi market. This can be interpreted, in our opinion, in terms of the distinguishing features of the Islamic financial intermediation mode, which is more able to alleviate the transmission of shocks to domestic markets and ensure a better stability to financial markets. The new structure of volatility spillover has important implications for international investors with respect to portfolio diversification benefits and for financial policymakers regarding contagion risks and portfolio allocative policies. تدرس هذه الورقة امتداد التقلبات بين أسواق الأسهم الإسلامية وأسعار النفط باستخدام عينة من خمس دول من منطقة الخليج العربي. تشير النتائج إلى وجود انخفاض في امتداد التقلبات، خاصة بالنسبة للسوق السعودي. ويمكن تفسير ذلك، في رأينا، من حيث السمات المميزة لخصائص الوساطة المالية الإسلامية. فهي تتمتع بقدرة أكبر على التخفيف من انتقال الصدمات إلى الأسواق المحلية وهي أيضًا تضمن استقرارًا أفضل للأسواق المالية. إن للهيكل الجديد لامتداد التقلبات آثاراً مهمة بالنسبة للمستثمرين الدوليين فيما يتعلق بمنافع تنويع المحفظة ولصانعي السياسات المالية فيما يتعلق بمخاطر العدوى وسياسات تخصيص المحفظة.

Suggested Citation

  • Jihed Majdoub & Walid Mansour & Islem Arrak, 2018. "Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد من الأسواق الإسلامية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 31(1), pages 27-45, January.
  • Handle: RePEc:abd:kauiea:v:31:y:2018:i:1:no:2:p:27-45
    DOI: 10.4197/Islec.31-1.2
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Volatility spillover; GCC; Oil price; Islamic finance. امتداد التقلبات، مجلس التعاون لدول الخليج، سعر النفط، التمويل الإسلامي.;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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