Modeling the interaction across international conventional and Islamic stock indices

Islamic financial instruments have been experiencing rapid growth in the last 50 years. Despite unique motivation formulating them, namely based on Syariah law, their movement might link to those of conventional ones. This paper is devoted investigating such interactions. It does so by applying two multivariate time series models estimate various instruments, both and The are VAR (Vector Autoregression) VARMA-GARCH Autoregressive Moving Average-Generalized Heteroskedasticity). From model it finds evidence bidirectional influences across instruments. also a stock index that dominates other series, DJI (Dow Jones Index). model, from vice versa, conditional mean variances. suggests behavior inseparable Future research consider correlations these variables.