Dynamic Relation between Global Islamic and Conventional Sectoral Stock Indices and Bonds

Sukriye Tuysuz

No 10498, EcoMod2017 from EcoMod

Abstract: This article examines the relationship between 10 Global sectoral conventional and Islamic securities. For each sector, a conventional and an Islamic stock indices and a conventional bond are retained. Global stock index, Global Investment Grade Bond index (IG) and Global High-Yield Grade Bond index (HY) are also considered. The analyzed relations are done by taking into account the diverse investment horizons, then the frequency domain in addition of the time domain. These differences have been examined by decomposing the retained returns by using Wavelet Transform (MODWT) into different frequency (scale) and then evaluating the dynamic conditional correlation (DCC-type models) of the decomposed series. At high frequency, conventional index and Islamic index are strongly correlated, except financial, telecommunication and utility indices. There are almost no relationship between conventional sectoral stock index and the corresponding sectoral bond index. In some cases these relations are feebly negative. Similar results are obtained between Islamic sectoral index and sectoral bond index.

Keywords: Global; Finance; Regional integration (search for similar items in EconPapers)
JEL-codes: E01 E40 (search for similar items in EconPapers)
Date: 2017-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:ekd:010027:10498

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