Abstract
S&P Dow Jones Indices are celebrating the 10th anniversary in Dubai with the expansion of single and multi factor index series in Gulf Cooperation Council (GCC) region. This current set of indices covers low volatility, momentum, enhance value, and equality factors. The objective of the study is to understand the dynamic relationship between domestic Shariah Indices of GCC nations which is important for investors to mitigate their risk and for governments to take precautionary action to avoid the possible financial downturn in their respective countries. The study has uni-directional Granger causality between Bahrain to Qatar, Oman, Saudi Arabia and UAE and bi-directional Granger causality between Saudi Arabia to Kuwait and Oman. This study will not only be advantageous for the Muslim investors, but also the other investors too. This important information enables the investors to adjust their financial portfolio, and also helps the respective market regulator.
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