Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX
<p>The current study aims to investigate how index returns of conventional and shariah indices of the USA, Europe, and Asia are affected by changes in oil prices, gold prices, VIX, gold-VIX, and oil-VIX. In our investigation, we used the S&P 500, S&P Europe 350, S&P Pan Asia, and t...
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2023
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| author | Safika Praveen Sheikh (19468108) |
| author2 | Syed Ahsan Jamil (19468111) Ahmet Faruk Aysan (11902115) Mohd Atif (19468114) Mustafa Raza Rabbani (14312743) Umar Nawaz Kayani (17131781) |
| author2_role | author author author author author |
| author_facet | Safika Praveen Sheikh (19468108) Syed Ahsan Jamil (19468111) Ahmet Faruk Aysan (11902115) Mohd Atif (19468114) Mustafa Raza Rabbani (14312743) Umar Nawaz Kayani (17131781) |
| author_role | author |
| dc.creator.none.fl_str_mv | Safika Praveen Sheikh (19468108) Syed Ahsan Jamil (19468111) Ahmet Faruk Aysan (11902115) Mohd Atif (19468114) Mustafa Raza Rabbani (14312743) Umar Nawaz Kayani (17131781) |
| dc.date.none.fl_str_mv | 2023-11-06T03:00:00Z |
| dc.identifier.none.fl_str_mv | 10.1016/j.heliyon.2023.e21094 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/Do_implied_volatilities_of_stock_and_commodity_markets_affect_conventional_shariah_indices_differently_An_evidence_by_OVX_GVZ_and_VIX/26808679 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Commerce, management, tourism and services Banking, finance and investment Economics Applied economics Philosophy and religious studies Religious studies Shariah compliant index VIX Crude oil Volatility spillover |
| dc.title.none.fl_str_mv | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p>The current study aims to investigate how index returns of conventional and shariah indices of the USA, Europe, and Asia are affected by changes in oil prices, gold prices, VIX, gold-VIX, and oil-VIX. In our investigation, we used the S&P 500, S&P Europe 350, S&P Pan Asia, and their relevant shariah counterparts for the USA, Europe, and Asia. To examine how the explanatory factors affect the overall distribution of the explained variables, we used OLS and quantile regression. For the time frame prior to Covid-19, we discover that all volatility indices—OVX, GVZ, and VIX—influence returns of all indices simultaneously, and that all variables—aside from the spot price of oil—have a greater impact during the bear phase according to QR findings. Further, Volatility indices have a greater impact on volatility of index returns during the Covid-19 period. This is largely because the Covid-19 outbreak had a rapid impact on economies all around the world, and the only thing that affected financial markets consistently was high volatility. This is further supported by the findings of BEKK, which demonstrate that volatility extends across all markets and originates from commodities like gold, oil, gold-VIX, and VIX. Evidence for this can be seen in the fact that during the COVID-19 period, stock prices reacted more favorably to oil price volatility than to oil spot prices, which even went negative on April 20, 2020. Because of this, market stability can be promoted by reducing volatility through the prompt dissemination of crucial information, even while governments have little direct control over the prices of significant commodities like gold and crude oil.</p><h2>Other Information</h2> <p> Published in: Heliyon<br> License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.heliyon.2023.e21094" target="_blank">https://dx.doi.org/10.1016/j.heliyon.2023.e21094</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_24a99333002a4491ba6eb0aeec702a12 |
| identifier_str_mv | 10.1016/j.heliyon.2023.e21094 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/26808679 |
| publishDate | 2023 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIXSafika Praveen Sheikh (19468108)Syed Ahsan Jamil (19468111)Ahmet Faruk Aysan (11902115)Mohd Atif (19468114)Mustafa Raza Rabbani (14312743)Umar Nawaz Kayani (17131781)Commerce, management, tourism and servicesBanking, finance and investmentEconomicsApplied economicsPhilosophy and religious studiesReligious studiesShariah compliant indexVIXCrude oilVolatility spillover<p>The current study aims to investigate how index returns of conventional and shariah indices of the USA, Europe, and Asia are affected by changes in oil prices, gold prices, VIX, gold-VIX, and oil-VIX. In our investigation, we used the S&P 500, S&P Europe 350, S&P Pan Asia, and their relevant shariah counterparts for the USA, Europe, and Asia. To examine how the explanatory factors affect the overall distribution of the explained variables, we used OLS and quantile regression. For the time frame prior to Covid-19, we discover that all volatility indices—OVX, GVZ, and VIX—influence returns of all indices simultaneously, and that all variables—aside from the spot price of oil—have a greater impact during the bear phase according to QR findings. Further, Volatility indices have a greater impact on volatility of index returns during the Covid-19 period. This is largely because the Covid-19 outbreak had a rapid impact on economies all around the world, and the only thing that affected financial markets consistently was high volatility. This is further supported by the findings of BEKK, which demonstrate that volatility extends across all markets and originates from commodities like gold, oil, gold-VIX, and VIX. Evidence for this can be seen in the fact that during the COVID-19 period, stock prices reacted more favorably to oil price volatility than to oil spot prices, which even went negative on April 20, 2020. Because of this, market stability can be promoted by reducing volatility through the prompt dissemination of crucial information, even while governments have little direct control over the prices of significant commodities like gold and crude oil.</p><h2>Other Information</h2> <p> Published in: Heliyon<br> License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.heliyon.2023.e21094" target="_blank">https://dx.doi.org/10.1016/j.heliyon.2023.e21094</a></p>2023-11-06T03:00:00ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1016/j.heliyon.2023.e21094https://figshare.com/articles/journal_contribution/Do_implied_volatilities_of_stock_and_commodity_markets_affect_conventional_shariah_indices_differently_An_evidence_by_OVX_GVZ_and_VIX/26808679CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/268086792023-11-06T03:00:00Z |
| spellingShingle | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX Safika Praveen Sheikh (19468108) Commerce, management, tourism and services Banking, finance and investment Economics Applied economics Philosophy and religious studies Religious studies Shariah compliant index VIX Crude oil Volatility spillover |
| status_str | publishedVersion |
| title | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX |
| title_full | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX |
| title_fullStr | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX |
| title_full_unstemmed | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX |
| title_short | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX |
| title_sort | Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX |
| topic | Commerce, management, tourism and services Banking, finance and investment Economics Applied economics Philosophy and religious studies Religious studies Shariah compliant index VIX Crude oil Volatility spillover |