Open AccessDependence Structure between Conventional and Islamic Indexes: A Copula Approach
Author(s) -
Samia Ben Messaoud,
Mondher Kouki
Publication year - 2020
Publication title -
international journal of islamic banking and finance research
Language(s) - English
Resource type - Journals
eISSN - 2576-4144
pISSN - 2576-4136
DOI - 10.46281/ijibfr.v4i2.703
Subject(s) - copula (linguistics) , econometrics , islam , tail dependence , economics , mathematics , statistics , statistical physics , physics , multivariate statistics , geography , archaeology
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.