Most of the earlier studies on index effects and co-movement of stock markets focused mainly on conventional equity markets. In contrast to previous studies, this research investigated the co-movement of Dow Jones Islamic Market sustainability and its peers Dow Jones Islamic and sustainability regional Europe and US equity markets. The standard time series techniques are applied. The results revealed: (i) Dow Jones Islamic Market Sustainability index is co-integrated with its peers regionals, implying there are potentials for less gain in abnormal profits in the long run, (ii) U.S. regional (Sustainability and Islamic equity) market has more influence on Dow Jones Islamic Market Sustainability than its peers in Europe due to market capitalization factor rather than characteristics’ index (iii) the study tends to suggest that portfolio diversification (risk and return) on ethical index is still largely dependent on well-balanced sectoral allocation to minimize exposure to systematic risks. Our empirical analysis however, has unveiled evidence of a negative risk-return relationship in the selected Dow Jones Islamic and Sustainability equity markets
