Islamic vs. Conventional Equity Markets: A Multifractal Cross-Correlation Analysis with Economic Policy Uncertainty

There is ample evidence that Islamic stock markets perform differently from conventional markets, particularly when economic policy uncertainty (EPU) or any other such as geopolitical present. Considering this context, paper examines the US EPU’s cross-correlation with both and perspective of multifractality. Daily market prices five main countries are considered: US, Thailand, Indonesia, Pakistan, India. Using multifractal detrended analysis (MF-DCCA), we validate existence long-range between EPU all considered, demonstrating pairs have strong power law characteristics. Furthermore, display varying levels strength, exhibiting strongest patterns. Additionally, a different found to be persistent. The results study pertinent various participants in investors, who may able draw useful conclusions them for purposes portfolio diversification.