Balcilar, MehmetJooste, CharlHammoudeh, ShawkatGupta, RanganBabalos, Vassilios2015-06-192015-06-192015Mehmet Balcilar, Charl Jooste, Shawkat Hammoudeh, Rangan Gupta & Vassilios Babalos (2015) Are there long-run diversification gains from the Dow Jones Islamic finance index?, Applied Economics Letters, 22:12, 945-950, DOI:10.1080/13504851.2014.9906131350-4851 (print)1466-4291 (online)10.1080/13504851.2014.990613http://hdl.handle.net/2263/45601We compare a nonlinear (time-varying) cointegration test with the standard cointegration test in studying the long-run relationship of the Dow Jones Islamic finance index with three other conventional global equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow Jones Islamic stock market index and other conventional stock market indices, which is not picked up by the linear cointegration test. Thus, Islamic markets seem to offer little, if any, long-run diversification to international investors.en© 2014 Taylor and Francis. This is an electronic version of an article published in Applied Economics Letters, vol. 22, no. 12, pp.945-950, 2015. doi : 10.1080/13504851.2014.990613. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20Islamic and conventional financeTime-varying cointegrationDow Jones Islamic finance indexPostprint Article