Table 3.

Estimation results of MS-VAR approach

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. LR statistics is test calculated as $2\times \left|{\mathit{log}L}_{MS-VAR},-,{\log L}_{\mathit{VAR}}\right|$. p-values are in brackets.

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