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Analysing the Relationship between Oil Prices and Islamic Stock Markets
Author(s) -
Arshad Shaista
Publication year - 2017
Publication title -
economic papers: a journal of applied economics and policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.245
H-Index - 19
eISSN - 1759-3441
pISSN - 0812-0439
DOI - 10.1111/1759-3441.12186
Subject(s) - volatility (finance) , islam , economics , stock (firearms) , stock market , oil price , monetary economics , financial economics , geography , context (archaeology) , archaeology
This study is novel in measuring the volatility and efficiency of Islamic stock markets of top oil‐importing countries. Daily prices of six Islamic stock markets are analysed for volatility using EGARCH and efficiency using Multifractal Detrended Fluctuation Analysis, over three different economic regimes. The results indicate a concurrent movement of oil price volatility and Islamic stock market volatility, as Islamic stock markets are heavily reliant on the real economy, which faces the effects of oil price changes. Emerging markets faced higher volatility and lower efficiency than developed counterparts, owing to fast‐paced economic and infrastructural growth, affecting the real sector of the economy.