... applies wavelet coherence which aims at time-varying links between exchange rates and Sukuk markets for various investment horizons, unlike cointegration and VAR, which are limited to one or two holding periods. Furthermore, it is multiscale and allows series analysis at scales with different frequencies...

... and conventional indices, respectively. The study uses monthly data for the period 2014–2018 and applies a number of techniques such as risk adjusted returns, Johansen’s cointegration test, vector error correction model, Granger causality test, forecast error variance decomposition and impulse response functions...