Research Article
BibTex RIS Cite

Is the performance of the companies operating in the participation index in the Turkish economy affected by the macroeconomic perspective?

Year 2022, , 63 - 73, 31.12.2022
https://doi.org/10.58251/ekonomi.1182456

Abstract

This study aims to examine whether the participation index performance in the Turkish economy is going well in terms of macroeconomic factors over the period of January 2018March 2021. In this study, the cointegration between the variables is checked with the ARDL bound test and the Johansen cointegration method. The long-term coefficients are estimated through the ARDL model. Finally, the causal linkage among the participation index performance and traditional stock market index, short-term interest rate, money supply, and the inflation rate is tested with the Toda-Yamamoto causality method. The main empirical findings are shown as in the following: 1) there is cointegration between the Participation index performance and traditional stock market index, short-term interest rate, money supply, and inflation rate under the structural break, 2) the traditional stock market index and money supply improve the Participation index performance in Turkish economy while short-term interest rates hamper it, and 3) there is a two-way causality between the participation index performance and the traditional stock market index and inflation rate, and a one-way causality relationship running from money supply and interest rates to Participation index performance. These evidences provide important suggestions to investors in terms of portfolio diversification and to policymakers in the light of risk allocation and market policies.  

References

  • Abd. Majid, M.S., & Yusof, R.M. (2009). The long-run relationship between Islamic stock returns and macroeconomic variables An application of the autoregressive distributed lag model. Humanomics, 25(2), 127-141. http://dx.doi.org/10.1108/08288660910964193
  • Abdulkarim, F.M., Alkinlaso, M.I., Hamid, B.A., & Ali, H.S. (2020). The nexus between oil price and Islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach. Borsa İstanbul Review, 20(2), 108-120. https://doi.org/10.1016/j.bir.2019.11.001
  • Adekoya, O.B., Oliyide, J.A., & Tiwari, A.K. (2021). Risk transmissions between sectoral Islamic and conventional stock markets during the COVID-19 pandemic: What matters more between actual COVID-19 occurrence and speculative and sentiment factors? Borsa Istanbul Review, 22(2), 363-376. https://doi.org/10.1016/j.bir.2021.06.002
  • 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 & Money, 28, 213-227. http://dx.doi.org/10.1016/j.intfin.2013.11.004
  • Akhtar, S., Akhtar, F., Jahromi, M. & John, K. (2017). Impact of interest rate surprises on Islamic and conventional stocks and bonds. Journal of International Money and Finance, 79, 218-231. https://doi.org/10.1016/j.jimonfin.2017.09.003
  • Albaity, M.S. (2011). Impact of the monetary policy instruments on Islamic stock market index return. Economics Discussion Papers, No 2011-26. http://www.economics-ejournal.org/economics/discussionpapers/2011-26
  • Ali, S., Shahzad, S.J.H., Raza, N., & Al-Yahyaee, K.H. (2018). Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. Physica A, 503, 139-153. https://doi.org/10.1016/j.physa.2018.02.169
  • Avcı, P. (2020). Firma piyasa değeri için muhasebe ve ekonomik verilerin analizi: Holding firma uygulaması. Business & Management, Studies: An International Journal, 8(4), 387-408. http://dx.doi.org/10.15295/bmij.v8i4.1721
  • Aziz, T., Marwat, J., Mustafa, S., & Kumar, V. (2020). Impact of Economic Policy Uncertainty and Macroeconomic Factors on Stock Market Volatility: Evidence from Islamic Indices. Journal of Asian Finance, Economics, and Business, 7(12), 683–692. doi:10.13106/jafeb.2020.vol7.no12.683
  • Bahloul, S., Mroua, M., & Naifar, N. (2017). The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching. Borsa Istanbul Review, 17(1), 62-74. http://dx.doi.org/10.1016/j.bir.2016.09.003
  • BloombergHT (2021). Retrieved from https://www.bloomberght.com
  • Central Bank of Turkey Electronic Data Distribution System-EVDS (2021). Retrieved from https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
  • Central Bank of Turkey, Inflation Report 2019-IV (31 Ekim 2019). Retrieved from https://www.tcmb.gov.tr/wps/wcm/connect/tr/tcmb+tr/main+menu/yayinlar/raporlar/enflasyon+raporu/2019/enflasyon+raporu+2019+-+iv
  • Central Bank of Turkey (2018). Annual Report Retrieved from http://www3.tcmb.gov.tr/yillikrapor/2018/tr/index.html
  • Dewandaru, G., Rizvi, S.A., 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. https://doi.org/10.1016/j.ecosys.2014.05.003
  • Dickey, D., & W. Fuller (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072. https://doi.org/10.2307/1912517
  • El Khamlichi, A., Sarkar, K., Arouri, M., & Teulon, F. (2014). Are Islamic equity indices more efficient than their conventional counterparts? Evidence from Major Global Index Families. The Journal of Applied Business Research, 30(4), 1137-1150. https://doi.org/10.19030/jabr.v30i4.8660
  • Erdoğan, S., Gedikli, A., & Çevik, E.İ. (2019). The Impact of macroeconomic variables on participation 30 Index in Turkey. Econometrics Letters, 2(6), 25-34. https://doi.org/10.28949/bilimname.799413
  • Fama, E. F. (1981). Stock returns, real activity, inflation, and Money. American Economic Review, 71, 545-565. https://www.jstor.org/stable/1806180
  • Fama, E.F., & Schwert, W.G. (1977). Asset returns and inflation. Journal of Business, 55, 201-231. https://doi.org/10.1016/0304-405X(77)90014-9
  • Fisher, I. (1930). The Theory of Interest 1st edition, Macmillan Co.
  • Ghazali, A., & Yakob, A. (1998). The money supply and stock prices: The case of Malaysia. Capital Markets Review, 6, 69-83.
  • Gherbi, E.A.H., & Alsedrah, I.T. (2021). Does stock market development and COVID-19 pandemic lead to financial crisis: the case of largest Islamic stock exchange market?. Journal of Sustainable Finance & Investment, 1-14. https://doi.org/10.1080/20430795.2021.1896987
  • Güçlü, F. (2019). İslami hisse senedi piyasalarının sistematik riskinin Markov rejim değişim modeliyle incelenmesi: Katılım 30 Örneği. Business & Management Studies: An International Journal, 7(5), 2910-2924. http://dx.doi.org/10.15295/bmij.v7i5.1366
  • Habib, M., & Islam, K.U. (2017). Impact of macroeconomic variables on Islamic stock market returns: Evidence from Nifty 50 Shariah Index. Journal of Commerce & Accounting Research, 6(1), 37-44. http://www.publishingindia.com/jcar/47/impact-of-macroeconomic-variables-on-islamic-stock-market-returns-evidence-from-nifty-50-shariah-index/548/3918/
  • Hammoudeh, S., Mensi, W., Reboredo, J.C., & Nguyen, D.K. (2014). Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Pasific-Basin Finance Journal, 30, 189-206. http://dx.doi.org/10.1016/j.pacfin.2013.09.002
  • Hassan, M.K., Djajadikerta, H.G., Choudhury, T., & Kamran, M. (2021). Safe havens in Islamic financial markets: COVID-19 versus GFC. Global Finance Journal. https://doi.org/10.1016/j.gfj.2021.100643
  • Ho, C.S.F., Rahman, N.A.A., Yusuf, N.H.M., & Zamzamin, Z. (2014). Performance of global Islamic versus conventional share indices: International evidence. Pasific-Basin Finance Journal, 28, 110-121. http://dx.doi.org/10.1016/j.pacfin.2014.10.001
  • Homa, K., & Jafee, D. (1971). The supply of money and common stock prices. The Journal of Finance, 26, 1045-1066.
  • Hussin, M.Y.M., Muhammad, F., Abu, M.F., & Awang, S.A. (2012). Macroeconomic variables and Malaysian islamic stock market: A time series analysis. Journal of Business Studies Quarterly, 3(4), 1-13.
  • Investing Türkiye TR (2021). Retrieved from https://tr.investing.com
  • Işık, C. (2013). The Importance of creating a competitive advantage and investing in information technology for modern economies: an ARDL test approach from Turkey. Journal of the Knowledge Economy, 4, 387-405.
  • Işık, C., Sirakaya-Turk, E., & Ongan, S. (2020). Testing the efficacy of the economic policy uncertainty index on tourism demand in USMCA: Theory and evidence. Tourism Economics, 26(8), 1344-1357.
  • Jawadi, F., Jawadi, N., & Louhichi, W. (2014). Conventional and Islamic stock price performance: An empirical investigation. International Economics, 137, 73-87. http://dx.doi.org/10.1016/j.inteco.2013.11.002
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economics Dynamic and Control, 12(2-3), 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Karyatun, S., Waluyo, T., Muis, M. Munir, A.R., & Sumardi (2021). The Islamic Stock Market and Macroeconomic Relationship. Psychology and Education, 58(1), 265-275
  • Kenourgios, D., Naifar, N., & Dimitriou, D. (2016). Islamic financial markets and global crises: Contagion or decoupling?. Economic Modelling, 57, 36-46. http://dx.doi.org/10.1016/j.econmod.2016.04.014
  • Lopez, R., Sevillano, M.C., & Jareno, F. (2022). Uncertainty and US stock market dynamics. Global Finance Journal. https://doi.org/10.1016/j.gfj.2022.100779
  • Ma, F., Lu, X., Liu, J., & Huang, D. (2022). Macroeconomic attention and stock market return predictability. Journal of International Financial Markets, Institutions & Money, 79. https://doi.org/10.1016/j.intfin.2022.101603
  • 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. http://dx.doi.org/10.1016/j.najef.2016.03.004
  • Moya-Martínez, P., Ferrer-Lapena, R., & Escribano-Sotos, F. (2015). Interest rate changes and stock returns in Spain: A wavelet analysis. BRQ Business Research Quarterly, 18, 95-110. http://dx.doi.org/10.1016/j.brq.2014.07.004
  • Naifar, N. (2016). Do global risk factors and macroeconomic conditions affect global Islamic index Dynamics? A quantile regression approach. The Quarterly Review of Economics and Finance, 61, 29-39. http://dx.doi.org/10.1016/j.qref.2015.10.004
  • Nasr, A.B., Lux, T., Ajmi, A.N., & 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. https://doi.org/10.1016/j.iref.2016.07.014
  • Ng, S., & P. Perron (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69, 1519-1554. https://doi.org/10.1111/1468-0262.00256
  • Nippani, S., & Washer, K.M. (2004). SARS: a non-event for affected countries’ stock markets?. Applied Financial Economics, 14(15), 1105-1110. https://doi.org/10.1080/0960310042000310579
  • Nishat, M., & Shaheen, R. (2004). Macroeconomic factors and Pakistani equity market. The Pakistan Development Review, 43, 619-637.
  • Panda, C. (2008). Do interest rates matter for stock markets? Economic and Political Weekly, 43, 107-115.
  • Pesaran M.H., Shin,Y., & Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326. https://doi.org/10.1002/jae.616
  • Prima Sakti, M. R., & Harun, M. D. Y. (2013). Relationship between Islamic stock prices and macroeconomic variables: Evidence from Jakarta stock exchange Islamic index. Global Review of Islamic Economics and Business, 1, 71-84.
  • Rahman, M.L., Hedström, A., Uddin, G.S., & Kang, S.H. (2021). Quantile relationship between Islamic and non-Islamic equity markets. Pacific-Basin Finance Journal, 68, 1-25. https://doi.org/10.1016/j.pacfin.2021.101586
  • Rana, M.E., & Akhter, W. (2015). Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy. Financial Innovation, 1(15), 1-17. https://doi.org/10.1186/s40854-015-0016-3
  • Rizvi, S.A.R., Dewandaru, G., Bacha, O.I., & Masih, M. (2014). An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA. Physica A: Statistical Mechanics and its Applications, 407, 86-99. https://doi.org/10.1016/j.physa.2014.03.091
  • Saboori, B., & Sulaiman, J. (2013). CO2 emissions, energy consumption and economic growth in Association of Southeast Asian Nations (ASEAN) countries: A cointegration approach. Energy, 55, 813-822. http://dx.doi.org/10.1016/j.energy.2013.04.038
  • Sakarya, Ş., Yıldırım, H.H., & Yavuz, M. (2018). Kurumsal yönetim endeksi ve Katılım 30 endeksi ile BİST 50 endeksi’nin performanslarının değerlendirilmesi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 439-454. https://dergipark.org.tr/tr/pub/sduiibfd/issue/52999/703487
  • Sakti, M.R.P., & Harun, Y. (2013). Relationship between Islamic stock prices and macroeconomic variables: Evidence from Jakarta Stock Exchange Islamic Index. Global Review of Islamic Economics and Business, 1(1), 71-84. https://doi.org/10.14421/grieb.2013.011-06
  • Sebri, M., & Ben-Salha, O. (2014). On the causal Dynamics between economic growth, renewable energy consumption, CO2 emissions, and trade openness: Fresh evidence from BRICS countries. Renewable and Sustainable Energy Reviews, 39, 14-23. http://dx.doi.org/10.1016/j.rser.2014.07.033
  • Shahbaz, M., Khan, S., & Tahir, M.I. (2013). The dynamic links between energy consumption, economic growth, financial development and trade in China: Fresh evidence from multivariate framework analysis. Energy Economics, 40, 8-21. http://dx.doi.org/10.1016/j.eneco.2013.06.006
  • 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. http://dx.doi.org/10.1016/j.irfa.2017.04.005
  • Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk, and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 1-9. https://doi.org/10.1016/j.irfa.2020.101496
  • Shamsuddin, A. (2014). Are Dow Jones Islamic equity indices exposed to interest rate risk?. Economic Modelling, 39, 273-281. http://dx.doi.org/10.1016/j.econmod.2014.03.007
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Vogelsang, T. J., & Perron, P. (1998). Additional tests for a unit root allowing for a break in the trend at an unknown time. International Economic Review, 39, 1073-1100. https://doi.org/10.2307/2527353
  • Yıldız, S.B. (2020). Performance analysis of Turkey’s participation and conventional indices using TOPSIS method. Journal of Islamic Accounting and Business Research, 11(7), 1403-1416. https://doi.org/10.1108/JIABR-08-2018-0123
  • Yılmaz, M., & Bağış, B. (2020). Türkiye’de İslami finansın gelişimi ve hukuki yapısı. İnsan ve Toplum Bilimleri Araştırmaları Dergisi, 9(5), 3148-3173. doi: 10.15869/itobiad.730814
  • Wahyudi, I. & Sani, G.A. (2014). Interdependence between Islamic capital market and money market: Evidence from Indonesia. Borsa Istanbul Review, 14, 32-47. http://dx.doi.org/10.1016/j.bir.2013.11.001
  • Wongbangpo, P., & Sharma, S.C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of Asian Economics, 13, 27-51. https://doi.org/10.1016/S1049-0078(01)00111-7
  • Zaighum, I., Aman, A., Sharif, A., & Suleman, M.T. (2021). Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach. Resources Policy, 72, 1-11. https://doi.org/10.1016/j.resourpol.2021.102068

Is the performance of the companies operating in the participation index in the Turkish economy affected by the macroeconomic perspective?

Year 2022, , 63 - 73, 31.12.2022
https://doi.org/10.58251/ekonomi.1182456

Abstract

This study aims to examine whether the participation index performance in the Turkish economy is going well in terms of macroeconomic factors over the period of January 2018March 2021. In this study, the cointegration between the variables is checked with the ARDL bound test and the Johansen cointegration method. The long-term coefficients are estimated through the ARDL model. Finally, the causal linkage among the participation index performance and traditional stock market index, short-term interest rate, money supply, and the inflation rate is tested with the Toda-Yamamoto causality method. The main empirical findings are shown as in the following: 1) there is cointegration between the Participation index performance and traditional stock market index, short-term interest rate, money supply, and inflation rate under the structural break, 2) the traditional stock market index and money supply improve the Participation index performance in Turkish economy while short-term interest rates hamper it, and 3) there is a two-way causality between the participation index performance and the traditional stock market index and inflation rate, and a one-way causality relationship running from money supply and interest rates to Participation index performance. These evidences provide important suggestions to investors in terms of portfolio diversification and to policymakers in the light of risk allocation and market policies.

References

  • Abd. Majid, M.S., & Yusof, R.M. (2009). The long-run relationship between Islamic stock returns and macroeconomic variables An application of the autoregressive distributed lag model. Humanomics, 25(2), 127-141. http://dx.doi.org/10.1108/08288660910964193
  • Abdulkarim, F.M., Alkinlaso, M.I., Hamid, B.A., & Ali, H.S. (2020). The nexus between oil price and Islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach. Borsa İstanbul Review, 20(2), 108-120. https://doi.org/10.1016/j.bir.2019.11.001
  • Adekoya, O.B., Oliyide, J.A., & Tiwari, A.K. (2021). Risk transmissions between sectoral Islamic and conventional stock markets during the COVID-19 pandemic: What matters more between actual COVID-19 occurrence and speculative and sentiment factors? Borsa Istanbul Review, 22(2), 363-376. https://doi.org/10.1016/j.bir.2021.06.002
  • 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 & Money, 28, 213-227. http://dx.doi.org/10.1016/j.intfin.2013.11.004
  • Akhtar, S., Akhtar, F., Jahromi, M. & John, K. (2017). Impact of interest rate surprises on Islamic and conventional stocks and bonds. Journal of International Money and Finance, 79, 218-231. https://doi.org/10.1016/j.jimonfin.2017.09.003
  • Albaity, M.S. (2011). Impact of the monetary policy instruments on Islamic stock market index return. Economics Discussion Papers, No 2011-26. http://www.economics-ejournal.org/economics/discussionpapers/2011-26
  • Ali, S., Shahzad, S.J.H., Raza, N., & Al-Yahyaee, K.H. (2018). Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. Physica A, 503, 139-153. https://doi.org/10.1016/j.physa.2018.02.169
  • Avcı, P. (2020). Firma piyasa değeri için muhasebe ve ekonomik verilerin analizi: Holding firma uygulaması. Business & Management, Studies: An International Journal, 8(4), 387-408. http://dx.doi.org/10.15295/bmij.v8i4.1721
  • Aziz, T., Marwat, J., Mustafa, S., & Kumar, V. (2020). Impact of Economic Policy Uncertainty and Macroeconomic Factors on Stock Market Volatility: Evidence from Islamic Indices. Journal of Asian Finance, Economics, and Business, 7(12), 683–692. doi:10.13106/jafeb.2020.vol7.no12.683
  • Bahloul, S., Mroua, M., & Naifar, N. (2017). The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching. Borsa Istanbul Review, 17(1), 62-74. http://dx.doi.org/10.1016/j.bir.2016.09.003
  • BloombergHT (2021). Retrieved from https://www.bloomberght.com
  • Central Bank of Turkey Electronic Data Distribution System-EVDS (2021). Retrieved from https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
  • Central Bank of Turkey, Inflation Report 2019-IV (31 Ekim 2019). Retrieved from https://www.tcmb.gov.tr/wps/wcm/connect/tr/tcmb+tr/main+menu/yayinlar/raporlar/enflasyon+raporu/2019/enflasyon+raporu+2019+-+iv
  • Central Bank of Turkey (2018). Annual Report Retrieved from http://www3.tcmb.gov.tr/yillikrapor/2018/tr/index.html
  • Dewandaru, G., Rizvi, S.A., 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. https://doi.org/10.1016/j.ecosys.2014.05.003
  • Dickey, D., & W. Fuller (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072. https://doi.org/10.2307/1912517
  • El Khamlichi, A., Sarkar, K., Arouri, M., & Teulon, F. (2014). Are Islamic equity indices more efficient than their conventional counterparts? Evidence from Major Global Index Families. The Journal of Applied Business Research, 30(4), 1137-1150. https://doi.org/10.19030/jabr.v30i4.8660
  • Erdoğan, S., Gedikli, A., & Çevik, E.İ. (2019). The Impact of macroeconomic variables on participation 30 Index in Turkey. Econometrics Letters, 2(6), 25-34. https://doi.org/10.28949/bilimname.799413
  • Fama, E. F. (1981). Stock returns, real activity, inflation, and Money. American Economic Review, 71, 545-565. https://www.jstor.org/stable/1806180
  • Fama, E.F., & Schwert, W.G. (1977). Asset returns and inflation. Journal of Business, 55, 201-231. https://doi.org/10.1016/0304-405X(77)90014-9
  • Fisher, I. (1930). The Theory of Interest 1st edition, Macmillan Co.
  • Ghazali, A., & Yakob, A. (1998). The money supply and stock prices: The case of Malaysia. Capital Markets Review, 6, 69-83.
  • Gherbi, E.A.H., & Alsedrah, I.T. (2021). Does stock market development and COVID-19 pandemic lead to financial crisis: the case of largest Islamic stock exchange market?. Journal of Sustainable Finance & Investment, 1-14. https://doi.org/10.1080/20430795.2021.1896987
  • Güçlü, F. (2019). İslami hisse senedi piyasalarının sistematik riskinin Markov rejim değişim modeliyle incelenmesi: Katılım 30 Örneği. Business & Management Studies: An International Journal, 7(5), 2910-2924. http://dx.doi.org/10.15295/bmij.v7i5.1366
  • Habib, M., & Islam, K.U. (2017). Impact of macroeconomic variables on Islamic stock market returns: Evidence from Nifty 50 Shariah Index. Journal of Commerce & Accounting Research, 6(1), 37-44. http://www.publishingindia.com/jcar/47/impact-of-macroeconomic-variables-on-islamic-stock-market-returns-evidence-from-nifty-50-shariah-index/548/3918/
  • Hammoudeh, S., Mensi, W., Reboredo, J.C., & Nguyen, D.K. (2014). Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Pasific-Basin Finance Journal, 30, 189-206. http://dx.doi.org/10.1016/j.pacfin.2013.09.002
  • Hassan, M.K., Djajadikerta, H.G., Choudhury, T., & Kamran, M. (2021). Safe havens in Islamic financial markets: COVID-19 versus GFC. Global Finance Journal. https://doi.org/10.1016/j.gfj.2021.100643
  • Ho, C.S.F., Rahman, N.A.A., Yusuf, N.H.M., & Zamzamin, Z. (2014). Performance of global Islamic versus conventional share indices: International evidence. Pasific-Basin Finance Journal, 28, 110-121. http://dx.doi.org/10.1016/j.pacfin.2014.10.001
  • Homa, K., & Jafee, D. (1971). The supply of money and common stock prices. The Journal of Finance, 26, 1045-1066.
  • Hussin, M.Y.M., Muhammad, F., Abu, M.F., & Awang, S.A. (2012). Macroeconomic variables and Malaysian islamic stock market: A time series analysis. Journal of Business Studies Quarterly, 3(4), 1-13.
  • Investing Türkiye TR (2021). Retrieved from https://tr.investing.com
  • Işık, C. (2013). The Importance of creating a competitive advantage and investing in information technology for modern economies: an ARDL test approach from Turkey. Journal of the Knowledge Economy, 4, 387-405.
  • Işık, C., Sirakaya-Turk, E., & Ongan, S. (2020). Testing the efficacy of the economic policy uncertainty index on tourism demand in USMCA: Theory and evidence. Tourism Economics, 26(8), 1344-1357.
  • Jawadi, F., Jawadi, N., & Louhichi, W. (2014). Conventional and Islamic stock price performance: An empirical investigation. International Economics, 137, 73-87. http://dx.doi.org/10.1016/j.inteco.2013.11.002
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economics Dynamic and Control, 12(2-3), 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Karyatun, S., Waluyo, T., Muis, M. Munir, A.R., & Sumardi (2021). The Islamic Stock Market and Macroeconomic Relationship. Psychology and Education, 58(1), 265-275
  • Kenourgios, D., Naifar, N., & Dimitriou, D. (2016). Islamic financial markets and global crises: Contagion or decoupling?. Economic Modelling, 57, 36-46. http://dx.doi.org/10.1016/j.econmod.2016.04.014
  • Lopez, R., Sevillano, M.C., & Jareno, F. (2022). Uncertainty and US stock market dynamics. Global Finance Journal. https://doi.org/10.1016/j.gfj.2022.100779
  • Ma, F., Lu, X., Liu, J., & Huang, D. (2022). Macroeconomic attention and stock market return predictability. Journal of International Financial Markets, Institutions & Money, 79. https://doi.org/10.1016/j.intfin.2022.101603
  • 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. http://dx.doi.org/10.1016/j.najef.2016.03.004
  • Moya-Martínez, P., Ferrer-Lapena, R., & Escribano-Sotos, F. (2015). Interest rate changes and stock returns in Spain: A wavelet analysis. BRQ Business Research Quarterly, 18, 95-110. http://dx.doi.org/10.1016/j.brq.2014.07.004
  • Naifar, N. (2016). Do global risk factors and macroeconomic conditions affect global Islamic index Dynamics? A quantile regression approach. The Quarterly Review of Economics and Finance, 61, 29-39. http://dx.doi.org/10.1016/j.qref.2015.10.004
  • Nasr, A.B., Lux, T., Ajmi, A.N., & 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. https://doi.org/10.1016/j.iref.2016.07.014
  • Ng, S., & P. Perron (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69, 1519-1554. https://doi.org/10.1111/1468-0262.00256
  • Nippani, S., & Washer, K.M. (2004). SARS: a non-event for affected countries’ stock markets?. Applied Financial Economics, 14(15), 1105-1110. https://doi.org/10.1080/0960310042000310579
  • Nishat, M., & Shaheen, R. (2004). Macroeconomic factors and Pakistani equity market. The Pakistan Development Review, 43, 619-637.
  • Panda, C. (2008). Do interest rates matter for stock markets? Economic and Political Weekly, 43, 107-115.
  • Pesaran M.H., Shin,Y., & Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326. https://doi.org/10.1002/jae.616
  • Prima Sakti, M. R., & Harun, M. D. Y. (2013). Relationship between Islamic stock prices and macroeconomic variables: Evidence from Jakarta stock exchange Islamic index. Global Review of Islamic Economics and Business, 1, 71-84.
  • Rahman, M.L., Hedström, A., Uddin, G.S., & Kang, S.H. (2021). Quantile relationship between Islamic and non-Islamic equity markets. Pacific-Basin Finance Journal, 68, 1-25. https://doi.org/10.1016/j.pacfin.2021.101586
  • Rana, M.E., & Akhter, W. (2015). Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy. Financial Innovation, 1(15), 1-17. https://doi.org/10.1186/s40854-015-0016-3
  • Rizvi, S.A.R., Dewandaru, G., Bacha, O.I., & Masih, M. (2014). An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA. Physica A: Statistical Mechanics and its Applications, 407, 86-99. https://doi.org/10.1016/j.physa.2014.03.091
  • Saboori, B., & Sulaiman, J. (2013). CO2 emissions, energy consumption and economic growth in Association of Southeast Asian Nations (ASEAN) countries: A cointegration approach. Energy, 55, 813-822. http://dx.doi.org/10.1016/j.energy.2013.04.038
  • Sakarya, Ş., Yıldırım, H.H., & Yavuz, M. (2018). Kurumsal yönetim endeksi ve Katılım 30 endeksi ile BİST 50 endeksi’nin performanslarının değerlendirilmesi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 439-454. https://dergipark.org.tr/tr/pub/sduiibfd/issue/52999/703487
  • Sakti, M.R.P., & Harun, Y. (2013). Relationship between Islamic stock prices and macroeconomic variables: Evidence from Jakarta Stock Exchange Islamic Index. Global Review of Islamic Economics and Business, 1(1), 71-84. https://doi.org/10.14421/grieb.2013.011-06
  • Sebri, M., & Ben-Salha, O. (2014). On the causal Dynamics between economic growth, renewable energy consumption, CO2 emissions, and trade openness: Fresh evidence from BRICS countries. Renewable and Sustainable Energy Reviews, 39, 14-23. http://dx.doi.org/10.1016/j.rser.2014.07.033
  • Shahbaz, M., Khan, S., & Tahir, M.I. (2013). The dynamic links between energy consumption, economic growth, financial development and trade in China: Fresh evidence from multivariate framework analysis. Energy Economics, 40, 8-21. http://dx.doi.org/10.1016/j.eneco.2013.06.006
  • 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. http://dx.doi.org/10.1016/j.irfa.2017.04.005
  • Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk, and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 1-9. https://doi.org/10.1016/j.irfa.2020.101496
  • Shamsuddin, A. (2014). Are Dow Jones Islamic equity indices exposed to interest rate risk?. Economic Modelling, 39, 273-281. http://dx.doi.org/10.1016/j.econmod.2014.03.007
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Vogelsang, T. J., & Perron, P. (1998). Additional tests for a unit root allowing for a break in the trend at an unknown time. International Economic Review, 39, 1073-1100. https://doi.org/10.2307/2527353
  • Yıldız, S.B. (2020). Performance analysis of Turkey’s participation and conventional indices using TOPSIS method. Journal of Islamic Accounting and Business Research, 11(7), 1403-1416. https://doi.org/10.1108/JIABR-08-2018-0123
  • Yılmaz, M., & Bağış, B. (2020). Türkiye’de İslami finansın gelişimi ve hukuki yapısı. İnsan ve Toplum Bilimleri Araştırmaları Dergisi, 9(5), 3148-3173. doi: 10.15869/itobiad.730814
  • Wahyudi, I. & Sani, G.A. (2014). Interdependence between Islamic capital market and money market: Evidence from Indonesia. Borsa Istanbul Review, 14, 32-47. http://dx.doi.org/10.1016/j.bir.2013.11.001
  • Wongbangpo, P., & Sharma, S.C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of Asian Economics, 13, 27-51. https://doi.org/10.1016/S1049-0078(01)00111-7
  • Zaighum, I., Aman, A., Sharif, A., & Suleman, M.T. (2021). Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach. Resources Policy, 72, 1-11. https://doi.org/10.1016/j.resourpol.2021.102068
There are 67 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Research Articles
Authors

Pınar Avcı 0000-0001-9480-8016

Sevgi Sumerli Sarıgül 0000-0002-3820-6288

Publication Date December 31, 2022
Submission Date September 30, 2022
Published in Issue Year 2022

Cite

APA Avcı, P., & Sumerli Sarıgül, S. (2022). Is the performance of the companies operating in the participation index in the Turkish economy affected by the macroeconomic perspective?. Journal of Ekonomi, 4(2), 63-73. https://doi.org/10.58251/ekonomi.1182456

Cited By








As the first video article in Turkey, it was featured in the Journal of Ekonomi.

Instagram: @journalofekonomi
YouTube: Journal of Ekonomi

---------------------------------------------------------

View Watch Video Articles

---------------------------------------------------------
(Kuru ve Balkan, 2020: Türkiye Ekonomisi Özel Sayısı, 5-9)

(Işık et al., 2019: 1(1): 1-27)

(Radulescu and Sandra, 2019 1(1): 28-32)

(Berger, 2019, 1(1): 43-48)

(Özelli, 2019 1(1): 49-83)

(Crenguta, 2019 1(1): 84-86)

-------------------------------------------------------