Dynamic Interconnectedness Between Islamic and Conventional Stocks in GCC Economies: Application of TVP-VAR Analysis

Abstract

The size of Islamic finance has become one of the most important sources of the global financial system, and its growth potential has necessitated a detailed market analysis. In this study, Islamic markets are analyzed by comparing them with conventional markets to determine whether they act differently from other financial products in times of crisis and protect their investors, that is, whether they act as a haven. The extent to which Islamic and conventional stocks experience connectedness during crisis periods, their aggregate dynamic connectedness structure, and which markets transmit or receive the most shocks have prompted this research. This study examines the dynamic connectedness structure between Islamic and conventional stocks in Gulf Cooperation Council (GCC) economies using daily data from 23.06.2015- 8.08.2024 through the TVP-VAR model. The research also includes additional analyses for investors with a short-term and long-term investment approach. For the markets examined, the degree of short-term and long-term connectedness is analyzed to determine whether the market is a transmitter or a receiver of shocks. For this purpose, forecast horizons are modelled for short-term (frequencies in the 1-5 day period) and long-term (frequencies in the period longer than 5 days). According to the findings on frequency connectedness, short-run rather than long-run transmission is the primary source of connectedness in both markets. The connectedness in Islamic and conventional markets has a similar structure during periods when risk decreases and increases. Total connectedness increased during the 2015-2016 oil crisis, the 2020 COVID-19 period, the February 2022 Russia-Ukraine war, and the October 2023 Israel-Palestine war, and the market's receiver or transmitter positions changed. Conventional markets have a higher level of connectedness than Islamic markets. However, this level is not strong enough to support the view that Islamic markets protect investors and national economies in times of crisis and offer a safe harbour effect.

Keywords

• TVP-VAR
• Islamic stock
• Conventional stock
• GCC

Körfez İş birliği Konseyi Ekonomilerinde İslami ve Geleneksel Hisse Senetleri Arasındaki Dinamik Bağlantı: TVP-VAR Analizi Uygulaması

Öz

Küresel finans sisteminin en önemli kaynaklarından biri haline gelen İslami finansın büyüklüğü ve büyüme potansiyeli detaylı bir piyasa analizini gerekli kılmıştır. Bu çalışmada, İslami piyasaların kriz dönemlerinde diğer finansal ürünlerden farklı davranıp davranmadığı ve yatırımcısını koruyup korumadığı, yani bir sığınak görevi görüp görmediği konvansiyonel piyasalarla karşılaştırılarak analiz edilmektedir.İslami ve konvansiyonel hisse senetlerinin kriz dönemlerinde ne ölçüde bağlantılılık yaşadıkları, toplam dinamik bağlantılılık yapıları ve hangi piyasaların daha fazla şok gönderdiği veya aldığı bu araştırmayı teşvik etmiştir.Bu çalışma, Körfez İşbirliği Konseyi (KİK) ekonomilerinde İslami ve konvansiyonel hisse senetleri arasındaki dinamik bağlantılılık yapısını 23.06.2015 - 8.08.2024 tarihleri arasındaki günlük verileri kullanarak TVP-VAR modeli ile incelemektedir.Araştırma ayrıca kısa ve uzun vadeli yatırım yaklaşımına sahip yatırımcılar için ek analizler içermektedir.İncelenen piyasalar için kısa ve uzun vadeli bağlantılılık derecesi analiz edilerek piyasanın şokların alıcısı mı yoksa vericisi mi olduğu belirlenmektedir.Bu amaçla, tahmin ufukları kısa vadeli (1-5 günlük dönemdeki frekanslar) ve uzun vadeli (5 günden uzun dönemdeki frekanslar) için modellenmiştir.Frekans bağlantılılığına ilişkin bulgulara göre, her iki piyasada da bağlantılılığın birincil kaynağı uzun dönemli aktarımdan ziyade kısa dönemli aktarımdır.Analizi gerçekleştirmek için Karma Veri Örneklemesi (MIDAS) regresyon metodolojisi kullanılmıştır.Bu analiz, altın ve Brent petrol getirilerinin metodolojik olarak İran ekonomisini işsizlik oranı, enflasyon oranı ve GSYİH büyümesi açısından etkilediğini göstermektedir.Bu sonuçlara ulaşmak için, zaman serisi analizinde temel olarak değişkenler arasındaki gecikme ve frekans farklılıklarını ortadan kaldırmaya odaklanan karma veri örnekleme (MIDAS) regresyon metodolojisi kullanılmıştır.Sonuçlar, İran İslam Cumhuriyeti ekonomisinin altın ve petrol fiyatlarına karşı kırılgan olduğu gerçeğine ışık tutmaktadır.

Anahtar Kelimeler

• TVP-VAR
• İslami piyasa
• Konvensiyonel piyasa
• KİK

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