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Oil price and the global conventional and islamic stock markets: Is the relationship symmetric or asymmetric ? evidence from nonlinear ARDL

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  • Adediran, Ibrahim Opeyemi
  • Masih, Mansur

Abstract

The objective of this study is to investigate the relationship between the global oil and stock markets using the Islamic and conventional global stock indexes. We test the short- and long-run asymmetric impact of oil prices on both the conventional and Islamic stock prices in the global markets. The nonlinear ARDL approach developed by Shin et al.(2014) is utilized to examine the asymmetric relationship between the variables. The results tend to indicate that the impact of oil prices on stock prices is asymmetric during the short-run for both the Islamic and conventional stock markets. However, the long-run asymmetric relationship exists for the impact of the Oil price on Islamic stocks only and not on conventional stocks.The results carry important policy implications for the investors and policymakers.

Suggested Citation

  • Adediran, Ibrahim Opeyemi & Masih, Mansur, 2018. "Oil price and the global conventional and islamic stock markets: Is the relationship symmetric or asymmetric ? evidence from nonlinear ARDL," MPRA Paper 91558, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:91558
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    References listed on IDEAS

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    1. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    2. Ishak Shari, 2000. "Economic Growth And Income Inequality In Malaysia, 1971–95," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 5(1-2), pages 112-124.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Rita Biswas & Donald R. Fraser & Gregory Hebb, 2000. "On The Shareholder Wealth Effects Of Deposit Insurance Premium Revisions On Large, Publicly Traded Commercial Banks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(2), pages 223-241, June.
    5. Zhang, Ruixin & Ben Naceur, Sami, 2019. "Financial development, inequality, and poverty: Some international evidence," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 1-16.
    6. Robin C. Sickles & William C. Horrace (ed.), 2014. "Festschrift in Honor of Peter Schmidt," Springer Books, Springer, edition 127, number 978-1-4899-8008-3, February.
    7. Seven, Unal & Coskun, Yener, 2016. "Does financial development reduce income inequality and poverty? Evidence from emerging countries," Emerging Markets Review, Elsevier, vol. 26(C), pages 34-63.
    8. Madhu Sehrawat & A K Giri, 2015. "Financial development and income inequality in India: an application of ARDL approach," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 42(1), pages 64-81, January.
    9. Muhammad Shahbaz & Faridul Islam, 2011. "Financial Development And Income Inequality In Pakistan: An Application Of Ardl Approach," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 36(1), pages 35-58, March.
    10. Biswas, Rita & Fraser, Donald R & Hebb, Gregory, 2000. "On the Shareholder Wealth Effects of Deposit Insurance Premium Revisions on Large, Publicly Traded Commercial Banks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(2), pages 223-241, Summer.
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    Cited by:

    1. Aktolkin Abubakirova & Lyazzat Kudabayeva & Aizhan Omarova & Zhanargul Taskinbaikyzy & Bibigul Saubetova, 2024. "Effects of Fluctuations in oil Prıces on G7 Country Stock Exchanges," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 324-328, July.
    2. Godil, Danish Iqbal & Sarwat, Salman & Khan, Muhammad Kamran & Ashraf, Muhammad Sajjad & Sharif, Arshian & Ozturk, Ilhan, 2022. "How the price dynamics of energy resources and precious metals interact with conventional and Islamic Stocks: Fresh insight from dynamic ARDL approach," Resources Policy, Elsevier, vol. 75(C).
    3. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).

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    More about this item

    Keywords

    global oil and stock markets; ARDL; NARDL; causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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