Volatility Interaction between Dow Jones Sukuk Index and Selected Stock Indices

Abstract

Sukuk, which is described as the equivalent of traditional bonds in Islamic financial products, is a financial product that draws quite attention in global markets and used by both Muslim and non-Muslim investors. Developments in financialization and financial product diversity have attracted attention to the investigations of volatility spillover and interaction between financial markets. This increase in both Islamic markets and volatility analysis has formed the basis for the study of certain Islamic Indices selected with the Dow Jones Sukuk Index, which is the aim of the study. In this context, the interaction between the return volatility of the Dow Jones Sukuk Index and the Dow Jones India Index, MSCI USA Islamic Index, Jakarta Islamic Index and Doha Al-Rayan Islamic Indices was examined based on the 2013-2021 period data. In this study, in which the Dynamic Conditional Correlation-GARCH model was used, it was concluded that there was volatility clustering and continuity in volatility in all series examined. In addition, in the results of the dynamic conditional correlation model, it was found that there is a positive volatility interaction that changes over time between Dow Jones Sukuk Index and Dow Jones India Index, MSCI USA Islamic Index and Doha Al-Rayan. Accordingly, when there is an increase in volatility in the Dow Jones Sukuk Index, it is expected that there will be an increase in volatility in these examined indices.

Keywords

• Islamıc finance
• Sukuk
• Volatility Spillover

Dow Jones Sukuk Endeksiyle Seçilmiş İslami Hisse Senedi Endeksleri Arasındaki Volatilite Etkileşimi

Abstract

Geleneksel tahvillerin İslami finansal ürünlerdeki karşılığı olarak ifade edilen sukuk, küresel piyasalarda oldukça dikkat çeken hem Müslümanlar hem de Müslüman olmayan yatırımcılar tarafından kullanılan bir finansal üründür. Finansallaşmada ve finansal ürün çeşitliliğinde yaşanan gelişmeler finansal piyasalar arasındaki volatilite yayılımı ve etkileşimi incelemelerinin dikkat çekmesine neden olmuştur. Hem İslami piyasalar hem de volatilite incelemelerindeki bu artış, çalışmanın amacı olan Dow Jones Sukuk Endeksi ile seçilmiş bazı İslami Endekslerin incelenmesinde temel oluşturmuştur. Bu bağlamda Dow Jones Sukuk Endeski ile Dow Jones Hindistan Endeksi, MSCI USA İslami Endeksi, Jakarta İslami Endeksi ve Doha Al-Rayan İslami Endekslerinin getiri volatiliteleri arasındaki etkileşim 2013-2021 dönemi verileri baz alınarak incelenmiştir. Dinamik Koşullu Korelasyon-GARCH modelinin kullanıldığı bu çalışmada, incelenen tüm serilerde volatilite kümelenmesi ve volatilitede süreklilik olduğu sonucuna ulaşılmıştır. Dinamik koşullu korelasyon modeli sonuçlarında da Dow Jones Sukuk Endeksi ile Dow Jones Hindistan Endeksi, MSCI USA İslami Endeksi ve Doha Al-Rayan arasında zamanla değişen pozitif yönlü volatilite etkileşimi olduğu bulgusu elde edilmiştir. Buna göre Dow Jones Sukuk Endeksi’nde volatilite artışı olduğunda incelenen bu endekslerde volatilite artışı olması beklenmektedir.

Keywords

• İslami finans
• Sukuk
• Volatilite yayılımı

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