Volatility spillover among equity indices and crude oil prices : evidence from Islamic markets

Abstract EN

This paper studies the volatility spillover between Islamic equity markets and oil prices.

We use a sample of five countries from the Gulf region.

The results show that there is a reduction in the volatility spillover, particularly for the Saudi market.

This can be interpreted, in our opinion, in terms of the distinguishing features of the Islamic financial intermediation mode, which is more able to alleviate the transmission of shocks to domestic markets and ensure a better stability to financial markets.

The new structure of volatility spillover has important implications for international investors with respect to portfolio diversification benefits and for financial policymakers regarding contagion risks and portfolio allocative policies