In this study, we examine the quantile dependence between Islamic and non-Islamic equity returns using the cross-quantilogram approach. We find that Islamic and non-Islamic equity markets are predominantly independent of each other when both markets are in normal (middle quantile) and bullish (upper quantile) states. However, when the markets are in a bearish state (lower quantile), a positive dependence emerges, which becomes stronger and persistent once the uncertainty measures are controlled for and during financial crises. We also show that investors can derive diversification and hedging benefits by strategically combining Islamic and non-Islamic equities in their portfolios.

在这项研究中，我们使用交叉分位数方法检查伊斯兰和非伊斯兰股票回报之间的分位数依赖性。我们发现，当两个市场都处于正常（中间分位数）和看涨（上分位数）状态时，伊斯兰和非伊斯兰股票市场主要是相互独立的。然而，当市场处于看跌状态（较低的分位数）时，就会出现正依赖，一旦在金融危机期间和期间控制了不确定性措施，这种依赖就会变得更加强烈和持久。我们还表明，投资者可以通过在其投资组合中战略性地结合伊斯兰和非伊斯兰股票来获得多元化和对冲收益。