Table 2.

Estimation results of VAR approach

	RDJI	Roil	Rgold
Panel A: Estimation results
Constant	0.141*** (2.095)	0.014 (0.104)	0.116* (1.801)
${\mathrm{RDJI}}_{\mathrm{t}-1}$	− 0.022 (− 0.776)	0.212*** (3.804)	0.009 (0.332)
${\mathrm{Roil}}_{\mathrm{t}-1}$	− 0.014 (− 0.992)	0.198*** (7.102)	− 0.008 (− 0.607)
${\mathrm{Rgold}}_{\mathrm{t}-1}$	− 0.064*** (− 2.151)	− 0.044 (− 0.767)	0.025 (1.310)

Panel B: Residual diagnostics
Log  L	− 6956.03
AIC	14.9858
SIC	15.0843

RDJI, Roil and Rgold are the returns of the Islamic stock market, crude oil prices and gold prices, respectively. AIC is the Akaike Information criterion. SIC is the Schwartz Information criterion. Student-t statistics of parameters are reported in parentheses.

***,** and * refer to significance levels at 1%, 5% and 10%, respectively.