Co-movement between some commodities and the Dow Jones Islamic Index: A Wavelet analysis

The objective of this paper is to study the common movement of three commodities (Oil, gas and gold) and the Dow Jones Islamic Market index (DJIM) using daily price observations, covering the period from January 2, 2006 to February 21, 2019. The Wavelet Squared Coherence (WSC) indicates that there is a co-movement between DJIM and oil prices and to a lesser extent with the price of gas, notably for the long run. However, a decline in dependence observed in 2014 confirms a gradual comeback to the situation before 2008. Moreover, using the Windowed Scalogram Difference (WSD), we confirm these findings but we detect other elements such as a more regular relationship between gas and Islamic stock. The results show that investors in Islamic stock market indices do not base their decisions on oil, gas or gold prices.