This paper examines the asymmetric volatility connectedness amongst the Dow Jones Islamic Market Index (DJIM) and the Brent crude oil, gold, and silver markets. We use the Diebold and Yilmaz methodology to examine asymmetric volatility connectedness associated with bad (negative semi-variance) and good (positive semi-variance) volatility in these markets. We identify significant volatility connectedness between the DJIM and commodity markets, with the DJIM and Brent oil markets being the largest net contributors of spillovers. Furthermore, the evidence on semi-volatility connectedness displays asymmetric behavior. Bad volatilities are associated with net transmission of spillovers to other markets, except for silver. Our results have significant implications for investors dealing with the DJIM and commodity markets in terms of asset management and diversification.

本文研究了道琼斯伊斯兰市场指数 (DJIM) 与布伦特原油、黄金和白银市场之间的非对称波动关联性。我们使用 Diebold 和 Yilmaz 方法来检查与这些市场中的不良（负半方差）和良好（正半方差）波动率相关的非对称波动率连通性。我们发现 DJIM 和商品市场之间存在显着的波动关联性，其中 DJIM 和布伦特石油市场是溢出效应的最大净贡献者。此外，关于半波动连通性的证据显示出不对称行为。不利的波动性与溢出效应向其他市场的净传输有关，白银除外。