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Co-movement between some commodities and the Dow Jones Islamic Index: A Wavelet analysis

Author

Listed:
  • Heni Boubaker

    (International University of Rabat, RBS College of Management, BEARLab)

  • Hichem Rezgui

    (International University of Rabat, RBS College of Management, BEARLab)

Abstract

The objective of this paper is to study the common movement of three commodities (Oil, gas and gold) and the Dow Jones Islamic Market index (DJIM) using daily price observations, covering the period from January 2, 2006 to February 21, 2019. The Wavelet Squared Coherence (WSC) indicates that there is a co-movement between DJIM and oil prices and to a lesser extent with the price of gas, notably for the long run. However, a decline in dependence observed in 2014 confirms a gradual comeback to the situation before 2008. Moreover, using the Windowed Scalogram Difference (WSD), we confirm these findings but we detect other elements such as a more regular relationship between gas and Islamic stock. The results show that investors in Islamic stock market indices do not base their decisions on oil, gas or gold prices.

Suggested Citation

  • Heni Boubaker & Hichem Rezgui, 2020. "Co-movement between some commodities and the Dow Jones Islamic Index: A Wavelet analysis," Economics Bulletin, AccessEcon, vol. 40(1), pages 574-586.
    • Handle: RePEc:ebl:ecbull:eb-19-00821
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    References listed on IDEAS

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    2. Badeeb, Ramez Abubakr & Lean, Hooi Hooi, 2018. "Asymmetric impact of oil price on Islamic sectoral stocks," Energy Economics, Elsevier, vol. 71(C), pages 128-139.
    3. Arouri Mohamed el hédi & Fouquau Julien, 2009. "On the short-term influence of oil price changes on stock markets in gcc countries: linear and nonlinear analyses," Economics Bulletin, AccessEcon, vol. 29(2), pages 795-804.
    4. Rahim, Adam Mohamed & Masih, Mansur, 2016. "Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches," Economic Modelling, Elsevier, vol. 54(C), pages 425-438.
    5. Khan, Aftab & Masih, Mansur, 2014. "Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets," MPRA Paper 56979, University Library of Munich, Germany.
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    Citations

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    Cited by:

    1. Adekoya, Oluwasegun B. & Akinseye, Ademola B. & Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David & Oliyide, Johnson, 2022. "Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies," Resources Policy, Elsevier, vol. 78(C).
    2. Salokhiddin Avazkhodjaev & Farkhod Mukhamedov & Jaloliddin Usmonov, 2022. "Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 197-208, May.
    3. Salokhiddin Avazkhodjaev & Nont Dhiensiri & Farkhod Mukhamedov, 2024. "Does Green Energy Investment Effects on Islamic and Conventional Stock Markets? New Evidence from Advanced Economies," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 592-602, January.
    4. Bahloul, Slah & Khemakhem, Imen, 2021. "Dynamic return and volatility connectedness between commodities and Islamic stock market indices," Resources Policy, Elsevier, vol. 71(C).
    5. Sherif, Mohamed, 2020. "The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).

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    More about this item

    Keywords

    Islamic equity –commodity – co-movement - Wavelet approach;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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