On the Linkage between Bitcoin, Islamic Stocks, and Oil Prices
On the Linkage between Bitcoin, Islamic Stocks, and Oil Prices

Author(s): Salahaddin Aljasem
Subject(s): Supranational / Global Economy, Energy and Environmental Studies, Islam studies, Environmental and Energy policy, Methodology and research technology, Financial Markets, Geopolitics
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: Bitcoin; Islamic Stocks; Oil Prices; Geopolitics; Islamic studies; Islamic Stock Markets; oil;
Summary/Abstract: The expansion of asset classes and the health, economic and geopolitical crises have made it necessary for investors to diversify their assets in international markets. This book aims to investigate the causal relationship between Bitcoin (BTC), Islamic Stock Markets (ISMs), and Oil. To this end, Firstly, the stationarity of the data series was checked using the Augmented Dickey-Fuller (ADF) and Philips Perron (PP) Tests for the period from August 18, 2011, to December 10, 2021. Then, after implementing the Vector Autoregressive (VAR) Model and various robustness checks to trace the existence of correlations between the variables, the Nonparametric Causality-in- Quantiles Test was utilized to determine the direction and strength of the relationship between the studied series. The results suggested that there are two-way causality-in- variance among variables. The strength of this causality especially rises in the normal market conditions but is weak in the upper quantiles except from BTC to DJI and from WTI to DJI. In terms of causality-in-mean, there is one-way causality from DJI to WTI in only a medium quantile.

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