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The dynamic correlation between energy commodities and Islamic stock market: analysis and forecasting

Author

Listed:
  • Abdelkader Derbali

    (Institut Supérieur de Gestion Sousse - Institut Supérieur de Gestion Sousse)

  • Tarek Chebbi

    (UGA IAE - Université Grenoble Alpes - Institut d'Administration des Entreprises - UGA [2016-2019] - Université Grenoble Alpes [2016-2019])

Abstract

Our paper connects to the literature emphasising the importance of the links between Islamic capital markets and commodities. To this end, we focus on the dynamics of the correlations between commodities and Islamic indices. Using the approach of Dynamic Conditional Correlation (DCC), this paper attempts to shed light into the dynamic relationship between two strategic commodities (crude oil and natural gas) and the QE Al Rayan Islamic index, over the period from 15 March 2011 to 25 December 2014. The empirical evidence suggests that volatilities of commodity returns are strongly correlated to those of stock index. Notably, this result highlights the financialisation of commodity markets.
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Suggested Citation

  • Abdelkader Derbali & Tarek Chebbi, 2015. "The dynamic correlation between energy commodities and Islamic stock market: analysis and forecasting," Post-Print hal-01696007, HAL.
    • Handle: RePEc:hal:journl:hal-01696007
    DOI: 10.1504/IJTGM.2015.069425
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    References listed on IDEAS

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    Cited by:

    1. Shahzad, Syed Jawad Hussain & Mensi, Walid & Hammoudeh, Shawkat & Rehman, Mobeen Ur & Al-Yahyaee, Khamis H., 2018. "Extreme dependence and risk spillovers between oil and Islamic stock markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 42-63.
    2. Suresh Kumar & Ankit Kumar & Gurcharan Singh, 2023. "Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 47-57, January.
    3. Abdelkader Derbali & Lamia Jamel & Monia Ben Ltaifa & Ahmed K. Elnagar, 2020. "Return, Volatility and Shock Spillovers of Bitcoin with Energy Commodities," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 10(3), pages 157-170.
    4. Nisful Laila & Aam S. Rusydiana & Muhamad Iqbal Irfany & Imron HR & Popon Srisusilawati & Muhamad Taqi, 2021. "Energy Economics in Islamic Countries: A Bibliometric Review," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 88-95.
    5. Walid Chkili, 2022. "The links between gold, oil prices and Islamic stock markets in a regime switching environment," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 169-186, March.
    6. Abdelkader Derbali & Tarek Chebbi, 2018. "Dynamic Equicorrelation between S&P500 Index and S&P GSCI," Working Papers hal-01695995, HAL.
    7. Bahloul, Slah & Khemakhem, Imen, 2021. "Dynamic return and volatility connectedness between commodities and Islamic stock market indices," Resources Policy, Elsevier, vol. 71(C).

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