We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times. Using daily data from January 1996 through September 2020 we consider conventional emerging stock market returns and some Islamic stock market returns and examine their interactions using causality-in-variance, dynamic conditional correlations, optimal hedge ratios, and causality-in-risk tests. Causality-in-variance test results show causality between Islamic stock returns and all emerging stock returns which indicates Islamic markets provide limited safe havens. Results from both time-varying conditional correlations and the hedge ratios show that there are positive and significant correlations between emerging stock markets and Dow Jones Islamic Market Index, which implies limited portfolio diversification benefits afforded by Islamic stock markets.

我们研究了伊斯兰和传统股票市场回报之间的关系，以了解伊斯兰金融市场是否在动荡时期提供投资组合多样化的好处和避风港。使用 1996 年 1 月至 2020 年 9 月的每日数据，我们考虑传统的新兴股票市场回报和一些伊斯兰股票市场回报，并使用方差因果关系、动态条件相关性、最佳对冲比率和风险因果关系检验检验它们之间的相互作用。因果关系方差检验结果显示伊斯兰股票回报与所有新兴股票回报之间存在因果关系，这表明伊斯兰市场提供有限的避风港。