Shocks and risk spillover among GCC energy equity indexes and global Islamic financial markets

Published: 24 October 2024| Version 1 | DOI: 10.17632/chcfmhgrjj.1
Contributors:
, Isaac Marcelin, Assane Lo,

Description

This dataset accompanies the research paper titled "Shocks and Risk Spillover among GCC Energy Equity Indexes and Global Islamic Financial Markets." The paper investigates the dynamic relationships and risk transmission between energy equity indexes from the Gulf Cooperation Council (GCC) countries and global Islamic financial markets. Using econometric models such as wavelet transform, the study provides insights into how shocks in energy equity markets influence the broader Islamic financial system, with a specific focus on volatility spillover effects. The dataset includes the following components: Daily Financial Data: This file contains daily price data for energy equity indexes from the GCC countries (Saudi Arabia, UAE, Qatar, etc.) and global Islamic financial markets, spanning a period from January 5, 2016, to April 3, 2024. Volatility and Risk Metrics: Derived variables representing volatility measures and risk spillover indicators used in the study. Replication Code: The R code used for model estimation and replication of the study’s findings. This dataset is intended to provide a comprehensive resource for researchers seeking to replicate or extend the analysis presented in the paper. It is suitable for use in studies examining financial market interlinkages, volatility spillovers, and the impact of shocks on Islamic finance and energy sector equities. Keywords: GCC, Energy Equity Indexes, Islamic Financial Markets, Risk Spillover, Shocks, VAR-BEKK-GARCH, Volatility

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Institutions

University of Maryland Eastern Shore

Categories

Energy Economics

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