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.

Author Biographies

Samia Ben Messaoud, University of Tunis El Manar, Tunisia

International Finance Group-Tunisia

Faculty of Economics and Management of Tunis

University of Tunis El Manar, Tunisia

E-mail: [email protected]

Mondher Kouki, University of Tunis El Manar, Tunisia

Department of Accounting and Finance

Faculty of Management and Economics of Tunis

University of Tunis El Manar, Tunisia

E-mail: [email protected]

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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