دانلود مقاله ISI انگلیسی شماره 83334
ترجمه فارسی عنوان مقاله

تاثیر نامتقارن قیمت نفت بر سهام بخش های اسلامی

عنوان انگلیسی
Asymmetric impact of oil price on Islamic sectoral stocks
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
83334 2018 41 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Energy Economics, Volume 71, March 2018, Pages 128-139

پیش نمایش مقاله
پیش نمایش مقاله  تاثیر نامتقارن قیمت نفت بر سهام بخش های اسلامی

چکیده انگلیسی

This paper extends the literature concerning non-linearity in oil-stock relationships by putting forward a new paradigm of sectoral and Islamic elements. We explore the asymmetric impact of oil price on Islamic stocks from a sectoral perspective using non-linear Autoregressive Distributed Lag cointegration methodology. The main advantage of this methodology relies on its ability to simultaneously capture the short- and long-run asymmetries through both positive and negative oil price shocks. Our results show weak linkages between oil price changes and the Islamic composite index. However, the nature and sensitivity of the reaction of stock prices to oil price shocks vary considerably across different sectors. In the longer horizon, the relationships between oil price and many Islamic sectoral stocks tend to follow a nonlinear pattern. Furthermore, the behavior of the real economic sectors indices reflects the performance of the composite index that is oil price-resistant. During the turbulent period after 2008, the response of the sectoral indices to oil price movements witnessed notable changes where the sectoral gains from oil price drop that have been observed during the period of study have been found to diminish after 2008. Our finding is in line with the argument that the Islamic composite index is grounded more on and within the real sectors. These findings are robust when considering different oil proxies and different data time-frequencies.