VOLATILITY EFFECTS OF COVID-19 ON GLOBAL ISLAMIC AND TRADITIONAL INDEXES

Yıl 2022, Cilt: 9 Sayı: 18, 1 - 26, 30.04.2022

Süleyman Açıkalın , İlker Sakınç

Öz

Following the announcement of COVID-19 as a pandemic in March 2020, great losses were experienced in financial markets all over the World. The aim of this study is to evaluate the performances and volatility of Islamic and traditional markets. For this purpose, nine Islamic and nine traditional indices were selected from nine different countries/regions. The scope of the study extends from January 1, 2018 to December 1, 2021. This period is divided into two parts as post and pre-COVID-19, based on January 30, 2020 on which the World Health Organization (WHO) declared COVID-19 as a health crisis of international importance. The general evaluation of the two index groups in terms of return and risk was made according to the mean and standard deviation values from descriptive statistics. The Generalized Autoregressive Conditional Variance (GARCH) model was used for the volatility analysis. The average rate of returns of Islamic indices were above the returns of traditional indices both before and after January 30, 2020 periods. The volatility of returns in both types of indexes increased after the announcement of COVID-19 as a “Public Health Emergency of International Concern” by WHO on January 30th, 2020. Islamic index volatility before January 30th, 2020 was lower than the traditional indexes. This difference disappeared after January 30th, 2020 and the volatility persistence seems to be equalized at a higher level for both types of indexes.

Anahtar Kelimeler

Volatility, Islamic and Traditional Indexes, GARCH, COVID-19

COVID-19’UN KÜRESEL İSLAMİ VE GELENEKSEL ENDEKSLER ÜZERİNDEKİ OYNAKLIK ETKİLERİ

Öz

COVID-19’un pandemi olarak ilan edildiği 2020 yılının Mart ayında bütün dünya finansal piyasalarında büyük kayıplar yaşanmıştır. Bu çalışmanın amacı İslami ve geleneksel piyasaların performanslarını ve oynaklıklarını değerlendirmektir. Bu amaçla dokuz farklı ülke/bölgeden dokuz İslami ve dokuz geleneksel endeks seçilmiştir. Çalışmanın kapsamı 1 Ocak 2018’den 1 Aralık 2021 tarihine uzanmaktadır. Bu süre Dünya Sağlık Örgütü’nün (DSÖ) COVID-19’u uluslararası öneme sahip bir sağlık krizi olarak açıkladığı 30 Ocak 2020 tarihine göre COVID-19 öncesi ve sonrası olarak ikiye bölünmüştür. İki endeks grubunun getiri ve risk anlamında genel değerlendirmesi tanımlayıcı istatistiklerden ortalama ve standart sapma değerlerine göre yapılmıştır. Oynaklık analizi için ise Genelleştirilmiş Otoregresif Koşullu Değişen Varyans (GARCH) modeli kullanılmıştır. İslami endekslerin ortalama getiri oranları gerek 30 Ocak 2020 öncesi ve gerek ise sonrasında geleneksel endekslerin getiri oranlarının üzerindedir. Getiri oynaklığı her iki endeks türü için de COVID-19’un DSÖ tarafından “Uluslararası Öneme Sahip Halk Sağlığı Acil Durumu” olarak ilan edilmesinden sonra artmıştır. 30 Ocak 2020 öncesi dönem için İslami endeks oynaklığı geleneksel endekslere göre daha düşüktür. 30 Ocak 2020 sonrasında bu fark ortadan kalkmış ve oynaklık kalıcılığı her iki endeks türü için de daha yüksek bir düzeyde eşitlenmiş görünmektedir.

Anahtar Kelimeler

Oynaklık, İslami ve Geleneksel Endeksler, GARCH, COVID-19

Kaynakça

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