Extreme dependence and risk spillovers between oil and Islamic stock markets

Syed Jawad Hussain Shahzad*, Walid Mensi, Shawkat Hammoudeh, Mobeen Ur Rehman, Khamis H. Al-Yahyaee

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

87 Citations (Scopus)


This paper examines the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market. The results underscore the presence of time-varying lower tail dependence between the oil and Islamic stock markets. Furthermore, we provide supportive evidence of asymmetric down- and up-side risk spillovers from oil to the Islamic stock markets and vice versa. Finally, these asymmetric risk spillovers have significantly increased after the global financial crisis.

Original languageEnglish
Pages (from-to)42-63
Number of pages22
JournalEmerging Markets Review
Publication statusPublished - Mar 2018


  • Copula
  • Delta CoVaR
  • Islamic stock markets
  • Oil prices
  • Risk spillovers

ASJC Scopus subject areas

  • Business and International Management
  • Economics and Econometrics


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