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STRUCTURE OF THE VOLATILITY RELATIONSHIP BETWEEN ISLAMIC STOCK INDICES

Year 2020, Volume: 18 Issue: 1, 108 - 121, 01.03.2020
https://doi.org/10.11611/yead.607940

Abstract

Islamic
stock indices are the indices consisted of the stocks of companies operating in
areas that are allowed by Islamic rules. The principle aim of the investors
investing in Islamic financial instruments is, quite similar to investors of
traditional instruments, to obtain maximum return with the minimum risk. For
this purpose, investors make analyses on assets and markets in their decision
processes. One of these analyses is the determination of the structure of the
volatility relationships. Volatility relationships may have constant or dynamic
structure. This situation is one of the factor that should be considered in
determining investment strategies. Dynamic correlation model test developed by
Engle and Sheppard (2001) is one of the test that is used for determining the
structure of the volatility relationships. In this context, in the study
structure of the volatility relationships between the returns of Islamic stock
indices of USA, India, UK, Japan, Kuwait, Malaysia, Sri Lanka and Turkey, for
the period between 15.09.2018-06.06.2019, using Engle and Sheppard (2001)
dynamic correlation model test. The results generally indicate the existence of
a dynamic volatility relationships between the index returns.

References

  • Abbes, M. B., ve Trichilli, Y. (2015) “Islamic stock markets and potential diversification benefits”, Borsa Istanbul Review, 15(2): 93-105.
  • Abdul Karim, B., Akila Mohd. Kassim, N., ve Affendy Arip, M. (2010) “The subprime crisis and Islamic stock markets integration”, International Journal of Islamic and Middle Eastern Finance and Management, 3(4): 363-371.
  • Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., ve Sarafrazi, S. (2014) “How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests”, Journal of International Financial Markets, Institutions and Money, 28: 213-227.
  • Al-Zoubi, H.A. ve Maghyereh, A.I. (2007) “The relative risk performance of Islamic finance: a new guide to less risky investments”, International Journal of Theoretical and Applied Finance, 10(4): 235-249.
  • Arshad, S. ve Rizvi, S. A. R. (2013) “The impact of global financial shocks to Islamic indices: speculative influence or fundamental changes?, Journal of Islamic Finance, 176(814): 1-11.
  • Başarır, Ç. (2018) “Volatility Structure of Stock Price Index and Exchange Rates: Casuality Analysis for Turkey”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 9(24): 330-349.
  • Çelik, İ., Özdemir, A. ve Gülbahar, S. D. (2018) “İslami Hisse Senedi Endeksleri Arasında Getiri ve Volatilite Yayılımı: Gelişmiş ve Gelişmekte Olan Piyasalarda Çok Değişkenli VAR-EGARCH Uygulaması”, Muhasebe ve Finans İncelemeleri Dergisi, 1(2): 89-100.
  • Dania, A. ve Malhotra, D. K. (2013) “An Empirical Examination of the Dynamic Linkages of Faith-Based Socially Responsible Investing”, The Journal of Wealth Management, 16(1): 65-79.
  • Engle, R. F. ve Sheppard, K. (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, National Bureau of Economic Research, No. 8554.
  • Girard, E. ve Hassan, M.K. (2008) “Is there a cost to faith-based investing: Evidence from FTSE Islamic indices?, The Journal of Investing, 17: 112-121.
  • Hammoudeh, S., Mensi, W., Reboredo, J. C. ve Nguyen, D. K. (2014) “Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors”, Pacific-Basin Finance Journal, 30: 189-206.
  • Hassan, M.K. (2002) “Risk, return and volatility of faith-based investing: the case of Dow Jones Islamic Index”, 5th Harvard University Forum on Islamic Finance, Harvard University, 43-67.
  • Hussein, K. (2004) “Ethical investment: empirical evidence from FTSW Islamic index”, Islamic Economic Studies, 12(1): 21-40.
  • Hussin, M. Y. M., Yusof, Y. A., Muhammad, F., Razak, A. A., Hashim, E. ve Marwan, N. F. (2013) “The integration of Islamic stock”, Labuan e-journal of Muamalat and society, 7: 17-27.
  • Kamışlı, M., Esen, E. ve Temizel, F. (2018) “Spot ve Future Piyasaları Arasındaki Oynaklık İlişki Yapısının Belirlenmesi”, IMASCON 2018 Uluslararası Marmara Fen ve Sosyal Bilimler Kongresi, 23 – 25 Kasım, Kocaeli, Türkiye.
  • Majdoub, J. ve Mansour, W. (2014) “Islamic equity market integration and volatility spillover between emerging and US stock markets”, The North American Journal of Economics and Finance, 29: 452-470.
  • Majid, M. S. A. ve Kassim, S. H. (2010) “Potential diversification benefits across global Islamic equity markets”, Journal of Economic Cooperation and Development, 31(4): 103-126.
  • Nasr, A. B., Lux, T., Ajmi, A. N. ve Gupta, R. (2016) “Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching”, International Review of Economics & Finance, 45: 559-571.
  • Nurrachmi, R. (2018) “Movements of Islamic Stock Indices in Selected OIC Countries”, Jurnal Al-Muzara’ah, 6(2): 77-90.
  • Rejeb, A. B. ve Arfoui, M. (2019) “Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach”, European Journal of Management and Business Economics, DOI 10.1108/EJMBE-08-2018-0088
  • Saiti, B., Bacha, O. I. ve Masih, M. (2014) “The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors”, Borsa Istanbul Review, 14(4): 196-211.
  • Shahzad, S. J. H., Ferrer, R., Ballester, L. ve Umar, Z. (2017) “Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis”, International Review of Financial Analysis, 52: 9-26.
  • World Bank Group (2018) Islamic Finance Bulletin, Issue 35, May 2018.

İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI

Year 2020, Volume: 18 Issue: 1, 108 - 121, 01.03.2020
https://doi.org/10.11611/yead.607940

Abstract

İslami hisse senedi endeksleri,
İslami kurallara uygun olarak belirlenen alanlarda faaliyet gösteren şirketler
baz alınarak oluşturulan endekslerdir. İslami finansal araçlara yatırım yapan
yatırımların temel amacı, geleneksel finansal araçlara yatırım yapan
yatırımcılara benzer şekilde minimum risk ile maksimum getiriyi sağlamaktır. Bu
amaçla yatırımcılar karar süreçlerinde varlıklara ve piyasalara ilişkin
analizler yapmaktadır. Bu analizlerden biri de varlıklar arasındaki oynaklık
ilişkilerinin yapısının belirlenmesidir. Oynaklık ilişkileri sabit veya dinamik
yapıda olabilmektedir. Bu durum ise yatırım stratejilerinin belirlenmesinde
dikkate alınması gereken bir faktördür. Oynaklık ilişkilerinin yapısının
belirlenmesinde kullanılan testlerden biri Engle ve Sheppard (2001) tarafından
geliştirilen dinamik korelasyon model testidir. Bu bağlamda çalışmada
15.09.2008 - 06.06.2019 tarihleri kapsamında ABD, Hindistan, İngiltere,
Japonya, Kuveyt, Malezya, Sri Lanka ve Türkiye İslami hisse senedi endeks
getirileri arasındaki oynaklık ilişki yapısı, Engle ve Sheppard (2001) dinamik
korelasyon model testi ile sınanmıştır. Çalışma sonucunda, söz konusu endeks
getirileri arasında genellikle dinamik oynaklık ilişkisi bulunduğu tespit
edilmiştir.

References

  • Abbes, M. B., ve Trichilli, Y. (2015) “Islamic stock markets and potential diversification benefits”, Borsa Istanbul Review, 15(2): 93-105.
  • Abdul Karim, B., Akila Mohd. Kassim, N., ve Affendy Arip, M. (2010) “The subprime crisis and Islamic stock markets integration”, International Journal of Islamic and Middle Eastern Finance and Management, 3(4): 363-371.
  • Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., ve Sarafrazi, S. (2014) “How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests”, Journal of International Financial Markets, Institutions and Money, 28: 213-227.
  • Al-Zoubi, H.A. ve Maghyereh, A.I. (2007) “The relative risk performance of Islamic finance: a new guide to less risky investments”, International Journal of Theoretical and Applied Finance, 10(4): 235-249.
  • Arshad, S. ve Rizvi, S. A. R. (2013) “The impact of global financial shocks to Islamic indices: speculative influence or fundamental changes?, Journal of Islamic Finance, 176(814): 1-11.
  • Başarır, Ç. (2018) “Volatility Structure of Stock Price Index and Exchange Rates: Casuality Analysis for Turkey”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 9(24): 330-349.
  • Çelik, İ., Özdemir, A. ve Gülbahar, S. D. (2018) “İslami Hisse Senedi Endeksleri Arasında Getiri ve Volatilite Yayılımı: Gelişmiş ve Gelişmekte Olan Piyasalarda Çok Değişkenli VAR-EGARCH Uygulaması”, Muhasebe ve Finans İncelemeleri Dergisi, 1(2): 89-100.
  • Dania, A. ve Malhotra, D. K. (2013) “An Empirical Examination of the Dynamic Linkages of Faith-Based Socially Responsible Investing”, The Journal of Wealth Management, 16(1): 65-79.
  • Engle, R. F. ve Sheppard, K. (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, National Bureau of Economic Research, No. 8554.
  • Girard, E. ve Hassan, M.K. (2008) “Is there a cost to faith-based investing: Evidence from FTSE Islamic indices?, The Journal of Investing, 17: 112-121.
  • Hammoudeh, S., Mensi, W., Reboredo, J. C. ve Nguyen, D. K. (2014) “Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors”, Pacific-Basin Finance Journal, 30: 189-206.
  • Hassan, M.K. (2002) “Risk, return and volatility of faith-based investing: the case of Dow Jones Islamic Index”, 5th Harvard University Forum on Islamic Finance, Harvard University, 43-67.
  • Hussein, K. (2004) “Ethical investment: empirical evidence from FTSW Islamic index”, Islamic Economic Studies, 12(1): 21-40.
  • Hussin, M. Y. M., Yusof, Y. A., Muhammad, F., Razak, A. A., Hashim, E. ve Marwan, N. F. (2013) “The integration of Islamic stock”, Labuan e-journal of Muamalat and society, 7: 17-27.
  • Kamışlı, M., Esen, E. ve Temizel, F. (2018) “Spot ve Future Piyasaları Arasındaki Oynaklık İlişki Yapısının Belirlenmesi”, IMASCON 2018 Uluslararası Marmara Fen ve Sosyal Bilimler Kongresi, 23 – 25 Kasım, Kocaeli, Türkiye.
  • Majdoub, J. ve Mansour, W. (2014) “Islamic equity market integration and volatility spillover between emerging and US stock markets”, The North American Journal of Economics and Finance, 29: 452-470.
  • Majid, M. S. A. ve Kassim, S. H. (2010) “Potential diversification benefits across global Islamic equity markets”, Journal of Economic Cooperation and Development, 31(4): 103-126.
  • Nasr, A. B., Lux, T., Ajmi, A. N. ve Gupta, R. (2016) “Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching”, International Review of Economics & Finance, 45: 559-571.
  • Nurrachmi, R. (2018) “Movements of Islamic Stock Indices in Selected OIC Countries”, Jurnal Al-Muzara’ah, 6(2): 77-90.
  • Rejeb, A. B. ve Arfoui, M. (2019) “Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach”, European Journal of Management and Business Economics, DOI 10.1108/EJMBE-08-2018-0088
  • Saiti, B., Bacha, O. I. ve Masih, M. (2014) “The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors”, Borsa Istanbul Review, 14(4): 196-211.
  • Shahzad, S. J. H., Ferrer, R., Ballester, L. ve Umar, Z. (2017) “Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis”, International Review of Financial Analysis, 52: 9-26.
  • World Bank Group (2018) Islamic Finance Bulletin, Issue 35, May 2018.
There are 23 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Articles
Authors

Serap Kamışlı 0000-0002-4714-6678

Ethem Esen 0000-0002-5356-1798

Publication Date March 1, 2020
Published in Issue Year 2020 Volume: 18 Issue: 1

Cite

APA Kamışlı, S., & Esen, E. (2020). İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI. Journal of Management and Economics Research, 18(1), 108-121. https://doi.org/10.11611/yead.607940
AMA Kamışlı S, Esen E. İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI. Journal of Management and Economics Research. March 2020;18(1):108-121. doi:10.11611/yead.607940
Chicago Kamışlı, Serap, and Ethem Esen. “İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI”. Journal of Management and Economics Research 18, no. 1 (March 2020): 108-21. https://doi.org/10.11611/yead.607940.
EndNote Kamışlı S, Esen E (March 1, 2020) İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI. Journal of Management and Economics Research 18 1 108–121.
IEEE S. Kamışlı and E. Esen, “İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI”, Journal of Management and Economics Research, vol. 18, no. 1, pp. 108–121, 2020, doi: 10.11611/yead.607940.
ISNAD Kamışlı, Serap - Esen, Ethem. “İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI”. Journal of Management and Economics Research 18/1 (March 2020), 108-121. https://doi.org/10.11611/yead.607940.
JAMA Kamışlı S, Esen E. İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI. Journal of Management and Economics Research. 2020;18:108–121.
MLA Kamışlı, Serap and Ethem Esen. “İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI”. Journal of Management and Economics Research, vol. 18, no. 1, 2020, pp. 108-21, doi:10.11611/yead.607940.
Vancouver Kamışlı S, Esen E. İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI. Journal of Management and Economics Research. 2020;18(1):108-21.