{"id":"https://openalex.org/W1524955243","doi":null,"title":"The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis","display_name":"The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W1524955243","mag":"1524955243"},"language":"en","primary_location":{"id":"pmh:oai::56989","doi":null,"is_oa":true,"landing_page_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","pdf_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","source":{"id":"https://openalex.org/S4306400553","display_name":"Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I8204097","host_organization_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","host_organization_lineage":["https://openalex.org/I8204097"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"MPRA Paper"},"volume":null,"type":"report","indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066833350","display_name":"Syahidah Hanis Meor Rithuan","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Syahidah Hanis Meor Rithuan","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5030820798","display_name":"Ahmad Monir Abdullah","orcid":"https://orcid.org/0000-0002-9700-829X","observed_orcids":["https://orcid.org/0000-0002-9700-829X"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ahmad Monir Abdullah","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5037748655","display_name":"Mansur Masih","orcid":"https://orcid.org/0000-0002-9965-0091","observed_orcids":["https://orcid.org/0000-0002-9965-0091"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mansur Masih","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-9965-0091","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":7,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/oil-prices","display_name":"oil prices","score":0.9100000262260437},{"id":"https://openalex.org/keywords/islamic-stock-index","display_name":"Islamic stock index","score":0.9980000257492065},{"id":"https://openalex.org/keywords/gulf-cooperation-council","display_name":"Gulf Cooperation Council","score":0.9010000228881836},{"id":"https://openalex.org/keywords/portfolio-diversification","display_name":"portfolio diversification","score":0.8859999775886536},{"id":"https://openalex.org/keywords/dynamic-correlation","display_name":"dynamic correlation","score":0.7360000014305115},{"id":"https://openalex.org/keywords/scale-dependence","display_name":"scale dependence","score":0.8659999966621399},{"id":"https://openalex.org/keywords/maximum-overlap-discrete-wavelet-transform","display_name":"maximal overlap discrete wavelet transform","score":0.8650000095367432},{"id":"https://openalex.org/keywords/continuous-wavelet-transform","display_name":"continuous wavelet transform","score":0.9990000128746033},{"id":"https://openalex.org/keywords/gold-prices","display_name":"gold prices","score":0.6100000143051147},{"id":"https://openalex.org/keywords/maize-prices","display_name":"corn prices","score":0.9980000257492065},{"id":"https://openalex.org/keywords/investment-horizon","display_name":"investment horizon","score":0.6740000247955322},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.6150000095367432},{"id":"https://openalex.org/keywords/cointegration","display_name":"cointegration","score":0.7960000038146973}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6144208908081055},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5906643867492676},{"id":"https://openalex.org/C4445939","wikidata":"https://www.wikidata.org/wiki/Q432","display_name":"Islam","level":2,"score":0.5376468896865845},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5222490429878235},{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.5209997296333313},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.513916015625},{"id":"https://openalex.org/C2987168347","wikidata":"https://www.wikidata.org/wiki/Q22656","display_name":"Crude oil","level":2,"score":0.5040968656539917},{"id":"https://openalex.org/C68593654","wikidata":"https://www.wikidata.org/wiki/Q1270246","display_name":"Brent Crude","level":3,"score":0.5036219954490662},{"id":"https://openalex.org/C47432892","wikidata":"https://www.wikidata.org/wiki/Q831390","display_name":"Wavelet","level":2,"score":0.47669073939323425},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4729968011379242},{"id":"https://openalex.org/C134024062","wikidata":"https://www.wikidata.org/wiki/Q1401229","display_name":"Error correction model","level":3,"score":0.45415985584259033},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.42096149921417236},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.17977988719940186},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1258731186389923},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.10564759373664856},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.09490394592285156},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C78762247","wikidata":"https://www.wikidata.org/wiki/Q1273174","display_name":"Petroleum engineering","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"pmh:oai::56989","doi":null,"is_oa":true,"landing_page_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","pdf_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","source":{"id":"https://openalex.org/S4306400553","display_name":"Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I8204097","host_organization_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","host_organization_lineage":["https://openalex.org/I8204097"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"MPRA Paper"},{"id":"pmh:oai:RePEc:pra:mprapa:56989","doi":null,"is_oa":false,"landing_page_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","pdf_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:1524955243","doi":null,"is_oa":false,"landing_page_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"mag:3148357890","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/p/pra/mprapa/56989.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306400553","display_name":"Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I8204097","host_organization_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","host_organization_lineage":["https://openalex.org/I8204097"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"MPRA Paper","raw_type":null}],"best_oa_location":{"id":"pmh:oai::56989","doi":null,"is_oa":true,"landing_page_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","pdf_url":"https://mpra.ub.uni-muenchen.de/56989/1/MPRA_paper_56989.pdf","source":{"id":"https://openalex.org/S4306400553","display_name":"Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I8204097","host_organization_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","host_organization_lineage":["https://openalex.org/I8204097"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"MPRA Paper"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1524955243.pdf","grobid_xml":"https://content.openalex.org/works/W1524955243.grobid-xml"},"referenced_works_count":5,"referenced_works":["https://openalex.org/W3581114","https://openalex.org/W1599341303","https://openalex.org/W1977206371","https://openalex.org/W1979777051","https://openalex.org/W2075821306"],"related_works":["https://openalex.org/W2221005106","https://openalex.org/W1481706405","https://openalex.org/W2986981270","https://openalex.org/W6980654436","https://openalex.org/W3170720132","https://openalex.org/W1867603846","https://openalex.org/W2939156083","https://openalex.org/W4220821591","https://openalex.org/W3168976742","https://openalex.org/W3010200831"],"abstract_inverted_index":{"An":[0],"understanding":[1],"of":[2,5,30,81,107,162,215,246,285,287,367],"how":[3],"volatilities":[4],"and":[6,11,24,37,71,87,130,147,168,171,200,209,219,230,336],"correlations":[7,74],"between":[8,75,194],"commodity":[9],"returns":[10],"Islamic":[12,78,172,197,212,227,269,339],"stock":[13,79,173,198,213,228],"indices":[14,80,174,199,214,229,270,340],"change":[15],"over":[16,388],"time":[17],"including":[18],"their":[19,45],"directions":[20],"(positive":[21],"or":[22,27,113,385],"negative)":[23],"size":[25],"(stronger":[26],"weaker)":[28],"is":[29,54,96,190,265,277,307,321,341],"crucial":[31],"importance":[32],"for":[33,47,68,104,333,378],"both":[34],"the":[35,55,62,69,76,120,126,140,159,195,206,211,225,231,236,244,247,258,261,267,273,278,283,314,324,330,337,344,348,357,364,368,374,379],"domestic":[36],"international":[38],"investors":[39,108,380],"with":[40,323,381],"a":[41,191],"view":[42,286],"to":[43,58,61,98,118,186,294,353],"diversifying":[44],"portfolios":[46],"hedging":[48],"against":[49],"unforeseen":[50],"risks.":[51],"This":[52,319],"paper":[53,157],"first":[56],"attempt":[57],"add":[59],"value":[60],"existing":[63],"literature":[64],"by":[65,91],"empirically":[66],"testing":[67],"\u2018time-varying\u2019":[70],"\u2018scale":[72],"dependent\u2019":[73],"selected":[77,88,196,201],"Gulf":[82],"Cooperation":[83],"Council":[84],"(GCC)":[85],"countries":[86],"commodities.":[89],"Particularly,":[90],"incorporating":[92],"scale":[93],"dependence,":[94],"it":[95,276],"able":[97],"identify":[99],"unique":[100],"portfolio":[101,288,375],"diversification":[102,289,301,331,376],"opportunities":[103,377],"different":[105,110,389],"set":[106],"bearing":[109],"investment":[111,305,383],"horizons":[112,384],"holding":[114,386],"periods.":[115,390],"In":[116],"order":[117],"address":[119],"research":[121],"objectives,":[122],"we":[123],"have":[124],"applied":[125],"vector":[127],"error-correction":[128],"model":[129],"several":[131],"recently":[132],"introduced":[133],"appropriate":[134],"wavelet":[135,249,316,369],"decomposition":[136],"techniques":[137],"such":[138],"as":[139],"Maximum":[141],"Overlap":[142],"Discrete":[143],"Wavelet":[144,149],"Transform":[145,150],"(MODWT)":[146],"Continuous":[148],"(CWT).":[151],"The":[152],"data":[153,161],"used":[154],"in":[155,205,235,255,257,272,313,343],"this":[156],"are":[158,223],"daily":[160],"three":[163],"commodities":[164,202,232],"(crude":[165],"oil,":[166],"gold":[167],"corn)":[169],"prices":[170],"from":[175],"1":[176],"June":[177],"2007":[178],"until":[179],"28":[180],"February":[181],"2014.":[182],"Our":[183,240,360],"findings":[184],"tend":[185,293,352],"suggest":[187,295],"that":[188,210,256,296,327,329],"there":[189],"theoretical":[192],"relationship":[193],"(as":[203,233,311],"evidenced":[204,234,312],"cointegration":[207,325],"tests)":[208],"Saudi":[216],"Arabia,":[217],"Oman":[218],"crude":[220,262,334],"oil":[221,263,335],"price":[222,264],"leading":[224,266],"other":[226,268,279,338],"Vector":[237],"Error-Correction":[238],"models).":[239],"analysis":[241,361],"based":[242,362],"on":[243,363],"application":[245],"recent":[248,365],"technique":[250],"MODWT":[251],"indicates":[252,328],"mixed":[253],"results":[254,292],"short":[259],"run,":[260,275],"but":[271],"long":[274,345],"way":[280],"around.":[281],"From":[282],"point":[284],"benefits,":[290],"our":[291],"an":[297],"investor":[298],"will":[299],"obtain":[300],"benefit":[302],"if":[303],"his/her":[304],"horizon":[306],"below":[308],"128":[309],"days":[310],"continuous":[315],"transform":[317],"analysis).":[318],"result":[320],"consistent":[322],"test":[326],"benefits":[332],"minimised":[342],"run":[346],"because":[347],"variables":[349],"under":[350],"review":[351],"move":[354],"together":[355],"toward":[356],"same":[358],"direction.":[359],"applications":[366],"decompositions":[370],"helps":[371],"us":[372],"unveil":[373],"heterogeneous":[382],"stocks":[387]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":1}],"updated_date":"2026-10-31T12:09:11.096373","created_date":"2016-06-24T00:00:00"}
