Dependence Structure between Conventional and Islamic Indexes: A Copula Approach
Keywords:
Asymmetric Dependence, Copula Models, Islamic Stock Indexes, Conventional, Counterparts
Abstract
This article examines the conditional dependence structure between Islamic stock indexes and conventional counterparts. Our empirical analysis relies on Islamic and conventional indexes of dependence distribution using copula methods over the period 1999–2014. The results from the copula models denote that the dependence is not formally symmetric in that the lower tail dependence is significantly larger than the upper tail dependence.
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Baker, M. and Jeffrey, W. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129–51.
Derigs, U. and Marzban, S. (2008). Review and analysis of current Shariah-compliant equity screening practices. International Journal of Islamic and Middle Eastern Finance and Management, 1 (4), 285-303.
El-Gamal, M. (2003). Interest and the Paradox of Contemporary Islamic Law and Finance, Fordham International Law Journal, 27 (1), 108-149.
El-Gamal, M.A. (2006). Islamic Finance: Law, Economics and Practice, Cambridge University Press, New York City.
Fowler, S.J., and Hope, C.A. (2007). Critical Review of Sustainable Business Indices and their Impact. Journal of Business Ethics, 76(3), 243-252.
Ghoul, W., and Karam, P. (2007). MRI and SRI mutual funds: A comparison of Christian, Islamic (morally responsible investing), and socially responsible investing (SRI) mutual funds. Journal of Investing 16(2), 96-102.
Hu, Y. (2006). The impact of pension funds on financial markets. Financial Market Trends (2006) 2. Paris: OECD.
Jobst, A. (2007). The Economics of Islamic Finance and Securitization, Document du Fonds Monétaire International, 36 (12). 182-183.
Khan, F. (2010). How Islamic is Islamic banking?, Journal of Economic Behavior & Organization 76(3), 805– 820.
Longin, F. Solnik, B. (2001). Extreme correlation of international equity markets, Journal Finance, 56(2), 649–676.
Patton, A. (2003). Modeling asymmetric exchange rate dependence. Working paper, University of California, San Diego.
Yaquby, N. (2000). Participation and Trading in Equities of Companies whose Main Business is Primarily Lawful but Fraught with some Prohibited Transactions. Paper presented to the Fourth Harvard Islamic Finance Forum, October 2000.
Published
2020-08-09
How to Cite
Messaoud, S. B., & Kouki, M. (2020). Dependence Structure between Conventional and Islamic Indexes: A Copula Approach. International Journal of Islamic Banking and Finance Research, 4(2), 22-30. https://doi.org/10.46281/ijibfr.v4i2.703
Section
Research Paper/Theoretical Paper/Review Paper/Short Communication Paper
Copyright (c) 2020 Samia Ben Messaoud, Mondher Kouki
This work is licensed under a Creative Commons Attribution 4.0 International License.
