In lieu of the scant research on systematic risk on Islamic stock markets, this paper aims to analysis the nature of time-varying systematic risk for both Islamic and non-Islamic sectoral indices. This study is novel in its analysis of behavioural changes of beta according to global economic state and whether Islamic sectors are less risky over a continuous basis beta. Taking daily returns of 10 global sectors spanning from 1996 to 2015, we firstly apply wavelet decomposition to divide the sectorial indices of both markets, into short-term and long-term horizons. Next, the beta value is estimated by running the regression of each sector’s daily return on the respective global index over a rolling window of 36 months. The analysis revealed both Islamic and conventional indices to follow a similar pattern over time. The Islamic sectorial beta tends to be smaller than conventional, which implies a damper reaction to stock market changes. A lower systematic risk of Islamic equities can prove to be a diversification opportunity for optimization of portfolios. Four robustness tests are applied to reaffirm the empirical analysis, throughout which our results hold.