Abstract:

The main objective of this study is to find out whether Islamic Indices offer a possibility of national diversification for conventional investors and whether they will be used for risk protection. The data set consists of Islamic and conventional indicators calculated by Dow Jones and Morgan Stanley Capital International in the example of Turkey, Malaysia, the United States and the United Kingdom. Method: An extended Dickey-Fuller and Philips-Perrron test has been adopted from the classic unit root tests for stagnation testing in the empirical application. If there is a co-integration relationship between Islamic indicators and their conventional measures, it has been determined by using the Engle-Granger and Johansen co-integration tests. Results: According to the empirical findings obtained, it is impossible to mention the existence of co-integration relationship between the Islamic Indices and the conventional traditions discussed in the example of Turkey, Malaysia, the United States and the United Kingdom, with the exception of the Dow Jones Islamic Index. These findings indicate that Islamic Indices offer a certain extent of possibility of national diversification for conventional investors and can be used to protect against risk.

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