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Dynamic relation between global Islamic and conventional sectoral stock and bonds indexes

Author

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  • Sukriye Tuysuz

    (Yeditepe University, Faculty of Commerce, Department of International Finance, Kayisdagi Cad. 34755, Istanbul, Turkey)

Abstract

This paper examines the relationship between 10 Global sectoral conventional and Islamic assets. For each sector, a conventional, an Islamic stock index and a bond are retained. The analyzed relations are done by taking into account diverse investment horizons by using MODWT and GARCH-DCC-type models. Our results indicate that adding bond indexes into a portfolio composed with conventional stock or Islamic stock is efficient. As for the correlations between conventional and Islamic sectoral indexes, they depend on the sector. Relations between returns of securities are quite similar to the relations between high-frequency part of these series and are very volatile at low frequency.

Suggested Citation

  • Sukriye Tuysuz, 2020. "Dynamic relation between global Islamic and conventional sectoral stock and bonds indexes," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-43, June.
    • Handle: RePEc:wsi:ijfexx:v:07:y:2020:i:02:n:s2424786320500061
    DOI: 10.1142/S2424786320500061
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