Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market

This paper examines the effect of crude oil price volatility on Southeast Asia Islamic equity market index. The paper focuses on the long run and short run effect of both the spot and futures price of crude oil on the Islamic equity market index in south East Asia. Daily data from September 2007 t...

Full description

Bibliographic Details
Main Authors:	Quadry, Mahmud Oluwaseyi, Adewale, Abideen Adeyemi, Jaiyeoba, Haruna Babatunde, Alli, Rafat Motunrayo
Format:	Article
Language:	English
Published:	2016
Subjects:	HG Finance HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/72492/ http://irep.iium.edu.my/72492/7/72492%20Effect%20of%20Crude%20Oil%20Spot%20and%20Futures%20Price.pdf

id	iium-72492
recordtype	eprints
spelling	iium-724922019-09-11T01:28:10Z http://irep.iium.edu.my/72492/ Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market Quadry, Mahmud Oluwaseyi Adewale, Abideen Adeyemi Jaiyeoba, Haruna Babatunde Alli, Rafat Motunrayo HG Finance HG4501 Stocks, investment, speculation This paper examines the effect of crude oil price volatility on Southeast Asia Islamic equity market index. The paper focuses on the long run and short run effect of both the spot and futures price of crude oil on the Islamic equity market index in south East Asia. Daily data from September 2007 to June 2015 obtained from Bloomberg database is used in the paper. The analysis based on time series techniques within the co-integrating framework. The vector error correction model is used in this study complimented with Impulse Response Factor IRF to examine out of sample causality. The major finding of this study is that crude oil spot and futures prices have positive impact on the Islamic equity index in Malaysia, Singapore and Thailand. Though based on the short run relationship, there is remarkable difference in the speed of adjustment back to equilibrium among the Southeast Asia Islamic equity indices. Given the ongoing price volatility of crude oil prices and the market expectation that it may not abate anytime soon, this paper promotes the viability of the Southeast Asia Islamic equity market as investment safe haven to mitigate the impact of such volatility in crude oil prices. 2016 Article PeerReviewed application/pdf en http://irep.iium.edu.my/72492/7/72492%20Effect%20of%20Crude%20Oil%20Spot%20and%20Futures%20Price.pdf Quadry, Mahmud Oluwaseyi and Adewale, Abideen Adeyemi and Jaiyeoba, Haruna Babatunde and Alli, Rafat Motunrayo (2016) Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market. Journal of Islamic Finance.
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG Finance HG4501 Stocks, investment, speculation
spellingShingle	HG Finance HG4501 Stocks, investment, speculation Quadry, Mahmud Oluwaseyi Adewale, Abideen Adeyemi Jaiyeoba, Haruna Babatunde Alli, Rafat Motunrayo Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market
description	This paper examines the effect of crude oil price volatility on Southeast Asia Islamic equity market index. The paper focuses on the long run and short run effect of both the spot and futures price of crude oil on the Islamic equity market index in south East Asia. Daily data from September 2007 to June 2015 obtained from Bloomberg database is used in the paper. The analysis based on time series techniques within the co-integrating framework. The vector error correction model is used in this study complimented with Impulse Response Factor IRF to examine out of sample causality. The major finding of this study is that crude oil spot and futures prices have positive impact on the Islamic equity index in Malaysia, Singapore and Thailand. Though based on the short run relationship, there is remarkable difference in the speed of adjustment back to equilibrium among the Southeast Asia Islamic equity indices. Given the ongoing price volatility of crude oil prices and the market expectation that it may not abate anytime soon, this paper promotes the viability of the Southeast Asia Islamic equity market as investment safe haven to mitigate the impact of such volatility in crude oil prices.
format	Article
author	Quadry, Mahmud Oluwaseyi Adewale, Abideen Adeyemi Jaiyeoba, Haruna Babatunde Alli, Rafat Motunrayo
author_facet	Quadry, Mahmud Oluwaseyi Adewale, Abideen Adeyemi Jaiyeoba, Haruna Babatunde Alli, Rafat Motunrayo
author_sort	Quadry, Mahmud Oluwaseyi
title	Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market
title_short	Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market
title_full	Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market
title_fullStr	Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market
title_full_unstemmed	Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market
title_sort	effect of crude oil spot and futures price volatility on south east asia islamic equity market
publishDate	2016
url	http://irep.iium.edu.my/72492/ http://irep.iium.edu.my/72492/7/72492%20Effect%20of%20Crude%20Oil%20Spot%20and%20Futures%20Price.pdf
first_indexed	2023-09-18T21:42:43Z
last_indexed	2023-09-18T21:42:43Z
_version_	1777413246854103040

Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market

Similar Items