The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
This paper is the first attempt at testing the ‘time-varying’ and ‘time-scale dependent’ volatilities of and correlations between the selected Islamic stock indices of South East Asian countries and selected commodities for enhancing portfolio diversification benefits. Consistent with the results of...
Main Authors: | Abdullah, Ahmad Monir, Saiti, Buerhan, Masih, Mansur |
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Format: | Article |
Language: | English English |
Published: |
Elsevier
2016
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Subjects: | |
Online Access: | http://irep.iium.edu.my/47409/ http://irep.iium.edu.my/47409/ http://irep.iium.edu.my/47409/ http://irep.iium.edu.my/47409/1/47409_The%20impact%20of%20crude%20oil%20price.pdf http://irep.iium.edu.my/47409/2/47409_The%20impact%20of%20crude%20oil%20price_SCOPUS.pdf |
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