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Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries

Author

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  • Tanin, Tauhidul Islam
  • Hasanov, Akram Shavkatovich
  • Shaiban, Mohammed Sharaf Mohsen
  • Brooks, Robert

Abstract

This paper examines the volatility transmission from the oil market to Islamic banks' (IBs) share prices in two sets of data from oil exporters and importers. Our datasets comprise indices developed from banks' stocks of eight oil-exporting countries, including 41 IBs and 90 conventional banks (CBs), and five oil-importing countries, with 23 IBs and 63 CBs. We employ a trivariate version of the non-diagonal GARCH model, which allows for asymmetry in the variance-covariance matrix. Rather than relying on a single window, we perform the estimations through many recursive windows. The results reveal that oil volatility has higher predictive power (in majority recursive significant subsamples) in the exporter dataset compared to the importer dataset. We also find higher significant recursive subsamples for conventional counterparts in the same country. Holistically, IBs show greater bank stability during high oil price volatility horizons, a finding beneficial for policymakers, regulators, financial markets, IBs, and other concerned stakeholders.

Suggested Citation

  • Tanin, Tauhidul Islam & Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf Mohsen & Brooks, Robert, 2022. "Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries," Energy Economics, Elsevier, vol. 115(C).
    • Handle: RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005187
    DOI: 10.1016/j.eneco.2022.106389
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    More about this item

    Keywords

    Islamic and conventional banks; Banks stock indices; Oil volatility transmission; Uncertainty; Oil-dependent and non-oil-dependent countries;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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