Dynamic linkages between Islamic equity indices, oil prices, gold prices, and news-based uncertainty: New insights from partial and multiple wavelet coherence. (January 2023)

• Record Type: Journal Article
• Authors: Khan, Muhammad Asif; Khan, Farhad; Sharif, Arshian; Suleman, Muhammad Tahir
• Is Part Of: Resources policy. Volume 80(2023)
• Publication Date: 2023-01
• Subjects: Islamic stock -- Oil -- Gold -- Global policy uncertainty -- Wavelet coherence -- Partial wavelet coherence -- Multiple wavelet coherence; Mines and mineral resources -- Periodicals; Ressources minérales -- Périodiques; Ressources naturelles -- Gestion -- Périodiques; Environnement -- Politique gouvernementale -- Périodiques; 333.8
• DOI: 10.1016/j.resourpol.2022.103213
• Languages: English
• ISSNs: 0301-4207

Abstract

Abstract: This study examines the dynamic relationships between Islamic stocks, oil prices, gold prices, and global policy uncertainty. We used monthly data for the Dow Jones world Islamic stock index, oil prices, and global policy uncertainty from 1996M1 to 2018M12. We employed a cointegration approach, a discrete wavelet, a wavelet-based Granger causality test, a continuous wavelet, wavelet coherence, partial wavelet coherence, and multiple wavelet coherence. The findings of the study exhibit strong bi-directional Granger causality for both the original and decomposed series among the variables considered. Wavelet coherence revealed positive coherence between gold prices and Islamic stocks, negative coherence between gold prices and Islamic stocks due to global policy uncertainty, negative medium-run coherence between gold prices and oil prices during crisis periods, and positive coherence between oil prices and Islamic stocks. By adding new series, MWC always has a stronger correlation than PWC in the short, medium, and long term. Highlights: Examines the dynamic relationships between Islamic stocks, oil prices, gold prices, and Global policy uncertainty. Exhibits strong bi-directional Granger causality for both original and decomposed series. Wavelet coherence displayed time-varying coherence between study's variables. MWC exhibits stronger correlation in the short, medium, and long run as compared to PWC.