This paper study the exposure of Dow Jones Islamic equity indices to global risk factors while considering both effects of speculative influence and fundamental changes. The study involves future markets according to Shari'a guidelines that ban speculative trading. Nonlinear ARDL modelling approach along with dynamic asymmetric causality tests is conducted to scrutinize long-run and short-run asymmetries and asymmetric causalities. The used data are crude refined oil future prices to stand for fundamental chocks in speculative trading and implied volatility index to stand for speculative pressure. Obtained results approve the presence of asymmetric cointegration between Islamic equity indices and oil-VIX future prices. The Islamic indices are sensitive to oil-VIX future chocks both in the long run and the short run. Asymmetric causality tests indicate the existence of asymmetric causality running from crude refined oil future prices which confirm the fundamental contagion effects but the causality from VIX to Islamic indices is not pronounced at all. Results support the absence of speculative influence on Islamic indices and prove that DJIM indices corroborate with Shari'a compliant rules. In sum, the paper confirms the asymmetric cointegration and then assumes that the asymmetry is present in Islamic equity indices inherent to changes in international futures prices. The paper shows the structure of exposure to global markets' expectations and provides faith-based investors with insights about the attitude of Islamic indices towards the future. Our findings suggest useful highlights to policymakers, portfolio managers, faith-based investors and scholars. We then could state that if long-run relationship occurs it is naturally asymmetrical.

中文翻译：

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道琼斯伊斯兰股票指数是否承受投机压力？来自非线性和不对称分析的新见解

本文研究了道琼斯伊斯兰股票指数对全球风险因素的影响，同时考虑了投机影响和基本面变化的影响。根据伊斯兰教法，这项研究涉及未来市场禁止投机交易的准则。进行了非线性 ARDL 建模方法以及动态不对称因果关系测试，以仔细检查长期和短期不对称性和不对称因果关系。所使用的数据是原油精炼油期货价格代表投机交易的基本面，隐含波动率指数代表投机压力。获得的结果证实了伊斯兰股票指数和石油-VIX 期货价格之间存在不对称协整。从长期和短期来看，伊斯兰指数对石油-VIX 期货的影响都很敏感。不对称因果关系测试表明原油精炼油期货价格存在不对称因果关系，这证实了基本的传染效应，但从 VIX 到伊斯兰指数的因果关系根本不明显。符合伊斯兰教法的规则。总之，本文证实了不对称协整，然后假设伊斯兰股票指数中存在国际期货价格变化固有的不对称性。本文展示了对全球市场预期的敞口结构，并为有信仰的投资者提供了有关伊斯兰指数对未来态度的见解。我们的研究结果为决策者、投资组合经理、基于信仰的投资者和学者提出了有用的亮点。然后我们可以说，如果发生长期关系，它自然是不对称的。