Extreme dependence and risk spillovers between oil and Islamic stock markets

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....