Abstract
The present article investigates the presence of diversification benefits resulting from the dependence structure in stock returns of Islamic and conventional insurance. Our empirical design is based on the use of daily closing stock prices of 20 Saudi insurance companies and the estimation of a battery of static and time varying copulas. The findings of static copulas estimations show that, at foremost pares, the suitable copulas modeling the relationship between stock returns of "Takaful insurance" and "Conventional life and health insurance" are the Clayton Copula and the Symmetrized Joe Copula (SJC). Moreover, the dependence parameter is practically low revealing an independence among various insurance business lines. The findings of the time varying copulas corroborate those obtained by the static copulas in terms of the weak pairwise correlation between Islamic and Non-Islamic Stock returns.