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- W3087949563 abstract "This study investigates the tail dependence switching and systemic risk between crude oil and both U.S. Islamic (Dow Jones Islamic World Index) and conventional (Dow Jones Market Index) stock markets. We apply dependence-switching copula approach, which allows for a state-varying dependence among markets under different market regimes (bear-bear, bear-bull, bull-bear, and bull-bull regime states). The results show that the U.S Islamic stock market serves as a hedge and a safe haven against oil price movements while its conventional counterparts acts only as a hedge. Morever, the tail dependence between the Islamic stock and oil markets is the lowest when a bullish Islamic stock market coexists with a bearish oil market. Furthermore, the dependence between the conventional stock and oil markets is smallest when a bear conventional market is associated with a bull oil market. Investor minimizes the systemic risk when he holds a short position in the oil market and a long position in the Islamic market, and who with long position in the oil market and a short position in the conventional stock market. • We examine whether the DJ Islamic and conventional stock indexes act as safe haven in oil market. • A dependence-switching copula approach is used. • Islamic and conventional stock markets reduce oil-related risks and losses, but with different magnitudes. • The Islamic stock market acts as a hedge and a safe haven against oil price movements. • The conventional stock market serves as a hedge against changes in oil price movements." @default.
- W3087949563 created "2020-10-01" @default.
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- W3087949563 date "2020-12-01" @default.
- W3087949563 modified "2023-10-17" @default.
- W3087949563 title "Switching dependence and systemic risk between crude oil and U.S. Islamic and conventional equity markets: A new evidence" @default.
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- W3087949563 doi "https://doi.org/10.1016/j.resourpol.2020.101861" @default.
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