Abstract
The aim of this paper is to explain global Dow Jones Islamic Market Index (DJIMI) dynamics across quantiles during the period of January 2003 to October 2014. Using quantile regression approach, we investigate the co-movement and the dependence structure between DJIMI returns and influential global financial market conditions, macroeconomic indicators and risk factors (major conventional stock market indices returns, global stock market uncertainty (VIX), crude oil prices, inflation rates, slope of the yield curves, investor sentiment indicator, and global sovereign credit risk represented by sovereign credit default swap (CDS) premiums). The empirical results demonstrate that conventional stock market returns, stock market implied volatility and the slope of the yield curve (as a proxy for future economic conditions) are significant for all the quantiles and display asymmetric tail dependence. During and after the global financial crisis, the sovereign credit risk factor has also been significant with positive coefficients, implying the impact of systemic nature of sovereign credit risk on explaining DJIMI returns. Moreover, the impact of oil prices and investor sentiment indicator is positive and significant but only for the lower quantiles. (C) 2015 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.