The oil market is characterized by several hundreds of different grades of crude extracted from various locations on the planet, but prices of those grades are structured with reference to only a handful of benchmark varieties. In this context, the ability to predict near term benchmark oil...

We assess the co-movement between the sharia-compliant stocks and sukuk in the Gulf Cooperation Council (GCC) countries. The wavelet squared coherency approach is applied to daily data covering GCC global, corporate and financial services sukuk indexes as well as GCC sharia stocks. The empirical...

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2–2011:12, using an in-sample period of 1990:2–2000:1. To do so, we consider, in...

We investigate the dynamic relationships between the US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent period which is marked by the onset of the global financial crisis. For this purpose, we...

In this paper, we investigate the volatility spillovers between sukuk and sharia-compliant stocks in GCC countries. A multivariate Fractionally Integrated Asymmetric Power ARCH model with dynamic conditional correlations (DCC) is estimated under Student-t distribution. We provide strong evidence...

Given the secrecy that wraps the flows of the GCC countries petrodollar surpluses to the United States and the pressures on these countries to spend and recycle more, this study attempts to uncover the direct and reverse causal relationships between the GCC financial accounts and the US current...

We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a...