期刊
RESOURCES POLICY
卷 65, 期 -, 页码 -出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.resourpol.2019.101571
关键词
Oil price; Islamic stock indices; Sectoral stocks; Quantile-on-Quantile approach
This study extends the existing literature by examining the impact of oil prices on the Dow Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical estimations are used to provide an in-depth understanding of the sensitivity of stock indices towards oil price fluctuation. Quantile unit root test and quantile cointegration tests are used to examine the integrating properties of the underlying variables. Moreover, we use Quantile-on-Quantile (QQ) approach to examine the impact across diverse quantiles of explanatory and outcome variables. Findings of the QQ estimate indicates that lower (upper) quantiles of oil prices negatively affect the upper (lower) quantiles of the DJ Islamic index. In addition, either upper or lower quantiles of both markets indicate a positive relationship. The findings for financial sector, healthcare sector, consumer goods, consumer services, oil & gas sector, utility sector, and industrial sector are consistent with the findings of DJ Islamic index. Finally, for basic material, technology and telecommunication sectors, a positive relationship is found across different quantiles. This study provides policy implications based on the findings of these enhanced methodologies.
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