Int. Journal of Economics and Management 9 (S): 61 - 80 (2015) IJEM International Journal of Economics and Management Journal homepage: http://www.econ.upm.edu.my/ijem Stylized Facts and Impact of Oil Price Shocks on International Shariah Stock Markets Tan KIM LEng a * , ChIn WEn ChEong b anD Tan SIoW hooI c a,c Faculty of Management, Multimedia University, 63100 Cyberjaya, Selangor Darul Ehsan, Malaysia b Faculty of Computing and Informatics, Multimedia University,63100 Cyberjaya, Selangor Darul Ehsan, Malaysia ABSTRACT This paper is undertaken to study the stylized facts of three international Shariah stock markets (i.e., FTSE China Shariah, FTSE Bursa Malaysia Emas Shariah and S&P Pan asia Shariah) and its responses to the oil price shocks. Results denote the presence of volatility clustering and long memory volatility in the three international Shariah stock markets examined. Besides that, FTSE China Shariah and S&P Pan asia Shariah stock markets illustrate the existence of leverage effect whereby bad news inluences the volatility greatly as compared to good news. In contrast, there is no leverage effect captured in the FTSE Bursa Malaysia Emas Shariah stock market. Meanwhile, the effect of shocks to the conditional volatility displays a hyperbolic rather than an exponential decaying rate. In terms of impact of oil price shocks to the three international Shariah stock markets examined, Brent and WTI crude oil returns demonstrate signiicant responsive to the three international Shariah stock returns investigated. however, return volatility of Brent and WTI crude oil show insigniicant responsive to three international Shariah stock returns and its volatility. Last but not least, the risk-return tradeoff parameter in overall is statistically * Corresponding author: E-mail: kltan_mmu@yahoo.com any remaining errors or omissions rest solely with the author(s) of this paper.