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slami ve Konvansiyonel Hisse Senedi Piyasaları Arasında Ortalama ve Varyansta Nedensellik İlişkisi: A.B.D., İngiltere, Malezya ve Türkiye Örneği

Year 2020, Volume: 11 Issue: 1, 23 - 40, 02.03.2020

Abstract

Bu araştırmanın amacı, Modern Portföy Teorisi çerçevesinde, İslami hisse senedi piyasalarının konvansiyonel hisse senedi piyasalarından finansal bulaşma bağlamında ne ölçüde farklılaştığının belirlenmesidir. Bu amaca yönelik olarak Türkiye, Malezya, A.B.D. ve İngiltere İslami hisse senedi endeksleri arasındaki ilişkiler Hong ortalamada ve varyansta nedensellik testi ile incelenerek hem İslami ve konvansiyonel hisse senedi piyasaları arasındaki hem de uluslararası İslami hisse senedi piyasaları arasındaki finansal bulaşma etkileri belirlenmeye çalışılmıştır. Analizi sonuçlarına göre Malezya hariç hiçbir ülkeye ait İslami hisse senedi piyasaları ile konvansiyonel hisse senedi piyasaları arasında hem ortalama getirilerde hem de varyanslarında bir nedensellik ilişkisine rastlanmamıştır. Bu sonuç, İslami hisse senedi piyasalarında yer alan hisse senetlerinin, konvansiyonel hisse senedi piyasalarında işlem gören hisse senetleri arasından seçildiği için bu iki piyasanın birlikte hareket etmesi gerektiğini öne süren görüşün geçerli olmadığını, İslami ve konvansiyonel hisse senedi piyasalarının ayrıştığını göstermektedir. Farklı ülkelerin İslami hisse senedi piyasaları arasındaki nedensellik analizi sonuçlarına bakıldığında ise gelişmiş ülkelerin İslami hisse senedi piyasaları ile gelişmekte olan ülkelerin İslami hisse senedi piyasalarının birlikte hareket ettiği görüşünün büyük ölçüde desteklendiği görülmektedir.

References

  • Abbes, M. B., & Trichilli, Y. (2015). Islamic Stock Markets and Potential Diversification Benefits. Borsa Istanbul Review, 15(2), 93–105.
  • Abu-Alkheil, A., Khan, W. A., Parikh, B., & Mohanty, S. K. (2017). Dynamic Co-Integration and Portfolio Diversification of Islamic and Conventional Indices: Global Evidence. The Quarterly Review of Economics and Finance, (66), 212–224.
  • Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., & 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(1), 213–227.
  • Albaity, M., & Ahmad, R. (2008). Performance of Syariah and Composite Indices: Evidence From Bursa Malaysia. Asian Academy of Management Journal of Accounting and Finance, 4(1), 23–43.
  • Albaity, M., & Mudor, H. (2012). Return Performance, Cointegration and Short Run Dynamics of Islamic and Non-Islamic Indices: Evidence from the US and Malaysia during the Subprime Crisis. Atlantic Review of Economics, 1, 1–21.
  • Alhabshi, S. O. (1994). Development of Capital Market under Islamic Principles. Managing and Implementing Interest-Free Banking/Islamic Financial System, 1–8, Kuala Lumpur, Malaysia.
  • Avcı, E., & Al-Agha, B. (2015). The Co-Movement Relationship between Islamic Stock Market and Conventional Stock Market. International Congress on Islamic Economics and Finance, 165–176, Sakarya, Turkey.
  • Beşel, F., & Özdemir, M. (2016). Participation Index, Istanbul Stock Exchange Index and Interest Rates Nexus: Evidence from Symmetric and Asymmetric Causality. Kyoto-Durham International Workshop in Islamic Economics and Finance, 1–7, Durham, the UK.
  • Bölükbaşı, A. G. ve Çakmur Yıldırtan, D. (2013). Yükselen Piyasalar Ayrışıyor Mu? Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 34(1), 33–49.
  • Budak, H. Z. (2017). Finansal Bulaşma Üzerine Bir Literatür İncelemesi. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 39(2), 451–472.
  • Buğan, M. F. ve Çevik, E. İ. (2016). İslami Finansal Piyasalar ile Gelişmekte Olan Ülke Borsaları Arasında Getiri ve Volatilite Yayılma Etkisi. International Congress of Management Economy and Policy, 4815–4841, İstanbul, Türkiye.
  • Çevik, E. İ., Erdoğan, S. ve Buğan, M. F. (2017). İslami Hisse Senedi Piyasası ile Almanya, Fransa ve İngiltere Hisse Senedi Piyasaları Arasında Asimetrik Nedensellik İlişkisi. I. Uluslararası Ekonomi, Finans ve Ekonometri Sempozyumu, İstanbul, Türkiye.
  • Ceylan, A. ve Korkmaz, T. (2010). İşletmelerde Finansal Yönetim. Bursa: Ekin Basım Yayın Dağıtım.
  • Cheung, Y.-W., & Ng, L. K. (1996). A Causality-in-Variance Test and its Application to Financial Market Prices. Journal of Econometrics, 72(1–2), 33–48.
  • Derindere Köseoğlu, S., & Çevik, E. İ. (2013). Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries. Czech Journal of Economics and Finance, 63(1), 65–86.
  • Dewandaru, G., Rizvi, S. A. R., Masih, R., Masih, M., & Alhabshi, S. O. (2014). Stock Market Co-Movements: Islamic versus Conventional Equity Indices with Multi-Timescales Analysis. Economic Systems, 38(4), 553–571.
  • Dharani, M. (2012). Behaviour of the Shariah Compliant Shares in India - An Empirical Study. Unpublished doctoral dissertation, Pondicherry University, Puducherry, IN.
  • Eğilmez, M. (2009). Decoupling Hipotezine Ne Oldu? Radikal, [Çevrim-içi: http://www.radikal.com.tr/yazarlar/mahfi-egilmez/decoupling-hipotezine-ne-oldu-970837/], Erişim tarihi: 13.05.2018.
  • El Khamlichi, A., Sannajust, A., & Sarkar, K. (2014). Islamic Equity Indices: Insight and Comparison with Conventional Counterparts. Bankers, Markets and Investors, (130), 69–80.
  • Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis. New York: Wiley.
  • Habib, M., & Islam, K. ul. (2014). An Empirical Assessment of Islamic Index: A Case Study of India. International Journal of Research in Management & Technology, 4(3), 181–189.
  • Hakim, S., & Rashidian, M. (2002). Risk and Return of Islamic Stock Market Indexes. 9th Economic Research Forum Annual Conference in Sharjah, 1–13, UAE.
  • Haq, I. Ul, & Rao, C. (2013). Co-Integration and Causality in Different Time Scales between SENSEX and SHARIAH 50 Indices in Indian Stock Markets. Journal of Islamic Economics, Banking and Finance, 9(4), 164–174.
  • Hassan, M. K., & Girard, E. (2010). Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes. Islamic Economic Studies, 17(2), 1–31.
  • Ho, C. S. F., Abd Rahman, N. A., Yusuf, N. H. M., & Zamzamin, Z. (2014). Performance of Global Islamic versus Conventional Share Indices: International Evidence. Pacific Basin Finance Journal, 28(1), 110–121.
  • Hong, Y. (2001). A Test for Volatility Spillover with Application to Exchange Rates. Journal of Econometrics, 103, 183–224.
  • Hussin, M. Y. M., Yusof, Y. A., Muhammad, F., Razak, A. A., Hashim, E., & Marwan, N. F. (2013). The Integration of Islamic Stock Markets: Does a Problem for Investors. Labuan e-Journal of Muamalat and Society, 7, 17–27.
  • Jebran, K., Chen, S., & Tauni, M. Z. (2017). Islamic and Conventional Equity Index Co-Movement and Volatility Transmission: Evidence from Pakistan. Future Business Journal, (3), 98–106.
  • Kamışlı, M., Kamışlı, S. ve Temizel, F. (2017). Bölgesel İslami Hisse Senedi Endeksleri Arasındaki İlişkilerin Analizi. Uluslararası Yönetim İktisat ve İşletme Dergisi, (ICMEB17 Özel Sayısı), 574–587.
  • Karim, B. A., Datip, E., & Shukri, M. H. M. (2014). Islamic Stock Market versus Conventional Stock Market. International Journal of Economics, Commerce and Management, 2(11), 1–9.
  • Karim, B. A., Kassim, N. A. M., & Arip, M. A. (2010). The Subprime Crisis and Islamic Stock Markets Integration. International Journal of Islamic and Middle Eastern Finance and Management, 3(4), 363–371.
  • Kassim, S. H. (2013). The Global Financial Crisis and the Integration of Islamic Stock Markets in Developed and Developing Countries. Asian Academy of Management Journal of Accounting and Finance, 9(2), 75–94.
  • Kenourgios, D., Naifar, N., & Dimitriou, D. (2016). Islamic Financial Markets and Global Crises: Contagion or Decoupling? Economic Modelling, 57, 36–46.
  • Korkmaz, T., Çevik, E. İ., & Atukeren, E. (2012). Return and Volatility Spillovers among CIVETS Stock Markets. Emerging Markets Review, 13, 230–252.
  • Korkmaz, T., Çevik, E. İ., Birkan, E., & Özataç, N. (2011). Causality in Mean and Variance between ISE 100 and S&P 500: Turkcell Case. African Journal of Business Management, 5(5), 1673–1683.
  • Köse, M. A., Otrok, C., & Prasad, E. (2012). Global Business Cycles: Convergence or Decoupling? International Economic Review, 53(2), 511–538.
  • Majdoub, J., Mansour, W., & Jouini, J. (2016). Market Integration between Conventional and Islamic Stock Prices. North American Journal of Economics and Finance, 37, 436–457.
  • Majid, M. S. A., & Kassim, S. H. (2010). Potential Diversification Benefits across Global Islamic Equity Markets. Journal of Economic Cooperation and Development, 31(4), 103–126.
  • Mohd, M. A. Bin, & Nawawi, A. H. B. M. (2011). Causality Linkages between USA and Asian Islamic Stock Markets. 2011 IEEE Symposium on Business, Engineering and Industrial Applications, 123–128, Langkawi, Malaysia.
  • Shahzad, S. J. H., Ferrer, R., Ballester, L., & 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.
  • Toraman, C., İğde, M., Buğan, M. F., & Kılıç, Y. (2016). Volatility Spillover Effect from Conventional Stock Markets to Islamic Stock Markets. International Journal of Academic Research in Economics and Management Sciences, 5(4), 2226–3624.
  • Ülev, S. (2016). Borsa İstanbul Katılım Endeksinin Piyasa Faiz Oranları ile İlişkisi ve Performansının Analizi. Yayımlanmamış Yüksek Lisans Tezi, Sakarya Üniversitesi, Sakarya, Türkiye.
  • Ülev, S. ve Özdemir, M. (2015). Katılım Endeksi ile Piyasa Faiz Oranları Arasındaki Nedensellik İlişkisi. International Congress on Islamic Economics and Finance, 47–54, Sakarya, Türkiye.
  • Wyrobek, J., & Stańczyk, Z. (2013). Decoupling Hypothesis and the Financial Crisis. Financial Assets and Investing, (3), 25–40.
  • Yusof, R. M., Bahlous, M., & Kassim, S. H. (2010). Ethical Investment and Shari’ah-Compliant Investment Compared: Can Investors Benefit from Diversification. Savings and Development, (3), 389–412.
  • Yusof, R. M., & Majid, M. S. A. (2007). Stock Market Volatility Transmission in Malaysia: Islamic versus Conventional Stock Market. Journal of King Abdulaziz University: Islamic Economics, 20(2), 17–35.

Causality in Mean and Variance between Islamic and Conventional Stock Markets: The Case of US, the UK, Malaysia, & Turkey

Year 2020, Volume: 11 Issue: 1, 23 - 40, 02.03.2020

Abstract

The aim of this study is to determine the extent to which Islamic stock markets differ from conventional stock markets in the context of financial contagion within the framework of Modern Portfolio Theory. For this purpose, the relationship between the Islamic stock indices of Turkey, Malaysia, US, and the UK were examined by using causality in mean and variance test developed by Hong to determine the effects of financial contagion between the Islamic and conventional stock markets as well as the international Islamic stock markets. According to the results of the analysis, no causality relationship was found between the Islamic stock markets of any country except Malaysia and conventional stock markets in both mean returns and variances. This result shows that the views suggesting that Islamic and conventional stock markets should act together because the stocks in the Islamic stock markets are selected among the stocks traded in the conventional stock markets are not valid and the Islamic and conventional stock markets are decoupled. When the results of the causality analysis between the Islamic stock markets of different countries are analyzed, it is seen that the stock Islamic stock markets of developed countries and developing countries act together.

References

  • Abbes, M. B., & Trichilli, Y. (2015). Islamic Stock Markets and Potential Diversification Benefits. Borsa Istanbul Review, 15(2), 93–105.
  • Abu-Alkheil, A., Khan, W. A., Parikh, B., & Mohanty, S. K. (2017). Dynamic Co-Integration and Portfolio Diversification of Islamic and Conventional Indices: Global Evidence. The Quarterly Review of Economics and Finance, (66), 212–224.
  • Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., & 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(1), 213–227.
  • Albaity, M., & Ahmad, R. (2008). Performance of Syariah and Composite Indices: Evidence From Bursa Malaysia. Asian Academy of Management Journal of Accounting and Finance, 4(1), 23–43.
  • Albaity, M., & Mudor, H. (2012). Return Performance, Cointegration and Short Run Dynamics of Islamic and Non-Islamic Indices: Evidence from the US and Malaysia during the Subprime Crisis. Atlantic Review of Economics, 1, 1–21.
  • Alhabshi, S. O. (1994). Development of Capital Market under Islamic Principles. Managing and Implementing Interest-Free Banking/Islamic Financial System, 1–8, Kuala Lumpur, Malaysia.
  • Avcı, E., & Al-Agha, B. (2015). The Co-Movement Relationship between Islamic Stock Market and Conventional Stock Market. International Congress on Islamic Economics and Finance, 165–176, Sakarya, Turkey.
  • Beşel, F., & Özdemir, M. (2016). Participation Index, Istanbul Stock Exchange Index and Interest Rates Nexus: Evidence from Symmetric and Asymmetric Causality. Kyoto-Durham International Workshop in Islamic Economics and Finance, 1–7, Durham, the UK.
  • Bölükbaşı, A. G. ve Çakmur Yıldırtan, D. (2013). Yükselen Piyasalar Ayrışıyor Mu? Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 34(1), 33–49.
  • Budak, H. Z. (2017). Finansal Bulaşma Üzerine Bir Literatür İncelemesi. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 39(2), 451–472.
  • Buğan, M. F. ve Çevik, E. İ. (2016). İslami Finansal Piyasalar ile Gelişmekte Olan Ülke Borsaları Arasında Getiri ve Volatilite Yayılma Etkisi. International Congress of Management Economy and Policy, 4815–4841, İstanbul, Türkiye.
  • Çevik, E. İ., Erdoğan, S. ve Buğan, M. F. (2017). İslami Hisse Senedi Piyasası ile Almanya, Fransa ve İngiltere Hisse Senedi Piyasaları Arasında Asimetrik Nedensellik İlişkisi. I. Uluslararası Ekonomi, Finans ve Ekonometri Sempozyumu, İstanbul, Türkiye.
  • Ceylan, A. ve Korkmaz, T. (2010). İşletmelerde Finansal Yönetim. Bursa: Ekin Basım Yayın Dağıtım.
  • Cheung, Y.-W., & Ng, L. K. (1996). A Causality-in-Variance Test and its Application to Financial Market Prices. Journal of Econometrics, 72(1–2), 33–48.
  • Derindere Köseoğlu, S., & Çevik, E. İ. (2013). Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries. Czech Journal of Economics and Finance, 63(1), 65–86.
  • Dewandaru, G., Rizvi, S. A. R., Masih, R., Masih, M., & Alhabshi, S. O. (2014). Stock Market Co-Movements: Islamic versus Conventional Equity Indices with Multi-Timescales Analysis. Economic Systems, 38(4), 553–571.
  • Dharani, M. (2012). Behaviour of the Shariah Compliant Shares in India - An Empirical Study. Unpublished doctoral dissertation, Pondicherry University, Puducherry, IN.
  • Eğilmez, M. (2009). Decoupling Hipotezine Ne Oldu? Radikal, [Çevrim-içi: http://www.radikal.com.tr/yazarlar/mahfi-egilmez/decoupling-hipotezine-ne-oldu-970837/], Erişim tarihi: 13.05.2018.
  • El Khamlichi, A., Sannajust, A., & Sarkar, K. (2014). Islamic Equity Indices: Insight and Comparison with Conventional Counterparts. Bankers, Markets and Investors, (130), 69–80.
  • Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis. New York: Wiley.
  • Habib, M., & Islam, K. ul. (2014). An Empirical Assessment of Islamic Index: A Case Study of India. International Journal of Research in Management & Technology, 4(3), 181–189.
  • Hakim, S., & Rashidian, M. (2002). Risk and Return of Islamic Stock Market Indexes. 9th Economic Research Forum Annual Conference in Sharjah, 1–13, UAE.
  • Haq, I. Ul, & Rao, C. (2013). Co-Integration and Causality in Different Time Scales between SENSEX and SHARIAH 50 Indices in Indian Stock Markets. Journal of Islamic Economics, Banking and Finance, 9(4), 164–174.
  • Hassan, M. K., & Girard, E. (2010). Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes. Islamic Economic Studies, 17(2), 1–31.
  • Ho, C. S. F., Abd Rahman, N. A., Yusuf, N. H. M., & Zamzamin, Z. (2014). Performance of Global Islamic versus Conventional Share Indices: International Evidence. Pacific Basin Finance Journal, 28(1), 110–121.
  • Hong, Y. (2001). A Test for Volatility Spillover with Application to Exchange Rates. Journal of Econometrics, 103, 183–224.
  • Hussin, M. Y. M., Yusof, Y. A., Muhammad, F., Razak, A. A., Hashim, E., & Marwan, N. F. (2013). The Integration of Islamic Stock Markets: Does a Problem for Investors. Labuan e-Journal of Muamalat and Society, 7, 17–27.
  • Jebran, K., Chen, S., & Tauni, M. Z. (2017). Islamic and Conventional Equity Index Co-Movement and Volatility Transmission: Evidence from Pakistan. Future Business Journal, (3), 98–106.
  • Kamışlı, M., Kamışlı, S. ve Temizel, F. (2017). Bölgesel İslami Hisse Senedi Endeksleri Arasındaki İlişkilerin Analizi. Uluslararası Yönetim İktisat ve İşletme Dergisi, (ICMEB17 Özel Sayısı), 574–587.
  • Karim, B. A., Datip, E., & Shukri, M. H. M. (2014). Islamic Stock Market versus Conventional Stock Market. International Journal of Economics, Commerce and Management, 2(11), 1–9.
  • Karim, B. A., Kassim, N. A. M., & Arip, M. A. (2010). The Subprime Crisis and Islamic Stock Markets Integration. International Journal of Islamic and Middle Eastern Finance and Management, 3(4), 363–371.
  • Kassim, S. H. (2013). The Global Financial Crisis and the Integration of Islamic Stock Markets in Developed and Developing Countries. Asian Academy of Management Journal of Accounting and Finance, 9(2), 75–94.
  • Kenourgios, D., Naifar, N., & Dimitriou, D. (2016). Islamic Financial Markets and Global Crises: Contagion or Decoupling? Economic Modelling, 57, 36–46.
  • Korkmaz, T., Çevik, E. İ., & Atukeren, E. (2012). Return and Volatility Spillovers among CIVETS Stock Markets. Emerging Markets Review, 13, 230–252.
  • Korkmaz, T., Çevik, E. İ., Birkan, E., & Özataç, N. (2011). Causality in Mean and Variance between ISE 100 and S&P 500: Turkcell Case. African Journal of Business Management, 5(5), 1673–1683.
  • Köse, M. A., Otrok, C., & Prasad, E. (2012). Global Business Cycles: Convergence or Decoupling? International Economic Review, 53(2), 511–538.
  • Majdoub, J., Mansour, W., & Jouini, J. (2016). Market Integration between Conventional and Islamic Stock Prices. North American Journal of Economics and Finance, 37, 436–457.
  • Majid, M. S. A., & Kassim, S. H. (2010). Potential Diversification Benefits across Global Islamic Equity Markets. Journal of Economic Cooperation and Development, 31(4), 103–126.
  • Mohd, M. A. Bin, & Nawawi, A. H. B. M. (2011). Causality Linkages between USA and Asian Islamic Stock Markets. 2011 IEEE Symposium on Business, Engineering and Industrial Applications, 123–128, Langkawi, Malaysia.
  • Shahzad, S. J. H., Ferrer, R., Ballester, L., & 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.
  • Toraman, C., İğde, M., Buğan, M. F., & Kılıç, Y. (2016). Volatility Spillover Effect from Conventional Stock Markets to Islamic Stock Markets. International Journal of Academic Research in Economics and Management Sciences, 5(4), 2226–3624.
  • Ülev, S. (2016). Borsa İstanbul Katılım Endeksinin Piyasa Faiz Oranları ile İlişkisi ve Performansının Analizi. Yayımlanmamış Yüksek Lisans Tezi, Sakarya Üniversitesi, Sakarya, Türkiye.
  • Ülev, S. ve Özdemir, M. (2015). Katılım Endeksi ile Piyasa Faiz Oranları Arasındaki Nedensellik İlişkisi. International Congress on Islamic Economics and Finance, 47–54, Sakarya, Türkiye.
  • Wyrobek, J., & Stańczyk, Z. (2013). Decoupling Hypothesis and the Financial Crisis. Financial Assets and Investing, (3), 25–40.
  • Yusof, R. M., Bahlous, M., & Kassim, S. H. (2010). Ethical Investment and Shari’ah-Compliant Investment Compared: Can Investors Benefit from Diversification. Savings and Development, (3), 389–412.
  • Yusof, R. M., & Majid, M. S. A. (2007). Stock Market Volatility Transmission in Malaysia: Islamic versus Conventional Stock Market. Journal of King Abdulaziz University: Islamic Economics, 20(2), 17–35.
There are 46 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Fatih Güçlü 0000-0002-1007-4594

Publication Date March 2, 2020
Submission Date August 25, 2019
Published in Issue Year 2020 Volume: 11 Issue: 1

Cite

APA Güçlü, F. (2020). slami ve Konvansiyonel Hisse Senedi Piyasaları Arasında Ortalama ve Varyansta Nedensellik İlişkisi: A.B.D., İngiltere, Malezya ve Türkiye Örneği. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi, 11(1), 23-40. https://doi.org/10.36362/gumus.610445