Estimation and Forecasting the Relationship Between Exchange Rate Changes and Islamic Stock Performance: A Case Study of The Turkish Dow Jones Islamic Index

Abstract

This study aims to estimate and forecast the relationship between exchange rate fluctuations and the performance of the Turkish Dow Jones Islamic Index over the period from January 1, 2020, to May 17, 2024, using weekly data. The study employed the Autoregressive Distributed Lag (ARDL) model, which is considered one of the effective econometric approaches for examining dynamic relationships between economic variables. The findings revealed the existence of a long-term relationship between exchange rate fluctuations and the performance of the Turkish Dow Jones Islamic Index, as reflected in the returns of the Islamic stocks included in the index. Moreover, the results indicated that exchange rate changes exert a positive and direct impact on the index, both in the short and long run, reflecting the interactive nature of financial markets and foreign exchange markets. The data also proved effective in generating accurate in-sample predictions, thereby confirming the suitability of the chosen model and the robustness of its explanatory power. Based on these findings, policymakers can utilize the results to formulate more informed monetary and fiscal policy decisions and to determine the optimal timing for intervention in Islamic markets in line with national economic policies. Likewise, these findings provide investors and portfolio managers with practical tools to hedge against exchange rate risks, enhance the efficiency of portfolio diversification, and improve their ability to predict future stock market movements through close monitoring of foreign exchange markets.

Keywords

• Estimation
• Forecast
• Exchange rate
• Islamic stock performance
• Turkey.

Döviz Kuru Değişiklikleri ile İslami Hisse Performansı Arasındaki İlişkinin Tahmini ve Öngörüsü: Türkiye Dow Jones İslami Endeksi Üzerine Bir Vaka Çalışması

Öz

Bu çalışma, 1 Ocak 2020 ile 17 Mayıs 2024 dönemi arasında döviz kuru dalgalanmaları ile Türk Dow Jones İslami Endeksi’nin performansı arasındaki ilişkiyi haftalık veriler kullanarak ayrıntılı biçimde tahmin etmeyi ve öngörmeyi amaçlamaktadır. Çalışmada, ekonomik değişkenler arasındaki dinamik ilişkileri incelemede etkili ekonometrik yaklaşımlardan biri olarak kabul edilen Otoregresif Dağıtılmış Gecikme (ARDL) modeli kullanılmıştır. Bulgular, döviz kuru dalgalanmaları ile Türk Dow Jones İslami Endeksi’nin performansı arasında uzun dönemli bir ilişkinin varlığını ortaya koymuş ve bu durum, endekse dahil edilen İslami hisse senetlerinin getirilerinde açıkça yansımıştır. Ayrıca sonuçlar, döviz kuru değişimlerinin hem kısa vadede hem de uzun vadede endeks üzerinde pozitif ve doğrudan bir etkiye sahip olduğunu göstermiş, bu da finansal piyasalar ile döviz piyasaları arasındaki güçlü etkileşimsel doğayı yansıtmaktadır. Kullanılan veriler, örnek içi tahminlerde (in-sample predictions) yüksek doğruluk sağlamış ve seçilen modelin uygunluğunu ile açıklama gücünün sağlamlığını kesin olarak teyit etmiştir. Elde edilen bulgular doğrultusunda, politika yapıcılar daha bilinçli ve etkin para ve maliye politikası kararları geliştirebilir ve İslami piyasalara ulusal ekonomik politikalarla uyumlu şekilde müdahale etmenin en uygun zamanlamasını belirleyebilirler. Benzer şekilde, bu sonuçlar yatırımcılara ve portföy yöneticilerine, döviz kuru risklerine karşı korunma, portföy çeşitlendirmesinin etkinliğini artırma ve döviz piyasalarının yakından izlenmesi yoluyla gelecekteki hisse senedi piyasası hareketlerini daha sağlıklı biçimde öngörme konularında pratik araçlar sunmaktadır.

Anahtar Kelimeler

• Tahmin
• Kestirim
• Döviz kuru
• İslami hisse performansı
• Türkiye

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