Prof. Satish Kumar’s co-authored research paper entitled ‘Measuring risk transmission between international oil and Islamic stock markets: A comparative analysis with the gold markets’ has been published in the ScienceDirect International Review of Economics & Finance journal. His co-authors are Profs. Fahmi Ghallabi & Ahmed Ghorbel, Professors at the Faculty of Economics and Management of Sfax, University of Sfax, Tunisia, and Prof. Arshian Sharif, Professor at the Department of Economics & Finance, Sunway University, Subang Jaya, Malaysia, University of Economics and Human Sciences in Warsaw, Warsaw, Poland & College of International Studies, Korea University, Seoul, South Korea.
This research used the asymmetric dynamic conditional correlation-conditional value-at-risk (ADCC-CoVaR) method to examine the risk spillover between gold, oil, and the Islamic stock indices between January 1, 2016, and July 6, 2023. It evidenced increasing conditional correlations between these indices amidst the COVID-19 crisis. The research findings indicate a generally significant transmission of downside and upside risks across all market pairs throughout the cumulative distributions and below (above) the 10th (90th) decile. Amid the COVID-19 crisis, WTI offers improved diversification and advantages in terms of risk reduction with Islamic stock indices and vice versa. The research findings hold significance for effective portfolio rebalancing and risk management practices.