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ANALYSIS OF RELATIONS BETWEEN REGIONAL ISLAMIC STOCK INDICES

Year 2017, ICMEB17 Özel Sayısı, 574 - 587, 01.12.2017

Abstract

Islamic financial institutions have become main institutions of economies in Islamic World. In many Muslim countries, notably Malaysia, Kuwait, Saudi Arabia and United Arabian Emirates, diversity of Islamic financial instrument and amount of the investment in these instruments have increased. On the other hand, non-Muslim investors also invest in such instruments as they are an alternative to traditional financial investments, and nonMuslim countries, notably Britain and Singapore, have integrated into the Islamic financial system through legal arrangements. In this context, the purpose of this study is to determine the relationships between regional Islamic stock indices in time and asymmetry dimension

References

  • Abbes, M. B. (2012). Risk and Return of Islamic and Conventional Indices, International Journal of EuroMediterranean Studies, 5(1), 1-23. https://doi.org/10.1007/s40321-012-0001-9
  • 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 and Money, 28, 213 – 227. https://doi.org/10.1016/j.intfin.2013.11.004.
  • Al-Khazali, O., Lean, H. H., & Samet, A. (2014). Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach. Pacific-Basin Finance Journal, 28, 29 – 46. https://doi.org/10.1016/j.pacfin.2013.09.003.
  • Alexakis, C., Pappas, V., & Tsikouras, A. (2017). Hidden cointegration reveals hidden values in Islamic investments, Journal of International Financial Markets, Institutions and Money, 46, 2017, 70 – 83. https://doi.org/10.1016/j.intfin.2016.08.006.
  • Dania, A., & Malhotra, D. K. (2013). An Empirical Examination of the Dynamic Linkages of Faith-Based Socially Responsible Investing. The Journal of Wealth Management, 16(1), 65 – 79. https://doi.org/10.3905/jwm.2013.16.1.065
  • Girard, E. C., & Hassan, M. K. (2008). Is There a Cost to Faith-Based Investing: Evidence from FTSE Islamic Indices. The Journal of Investing, 17(4), 112 – 121. https://doi.org/10.3905/JOI.2008.17.4.112
  • Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross Spectral Methods. Econometrica, 37 (3), 424 – 438. https://doi.org/10.2307/1912791
  • Hatemi-J, A. (2012). Asymmetric Causality Tests with an Application. Empirical Economics, 43 (1), 447 – 456. https://doi.org/10.1007/s00181-011-0484-x
  • 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. Pacific-Basin Finance Journal, 28, 110 – 121. https://doi.org/10.1016/j.pacfin.2013.09.002.
  • Hsiao, C. (1981). Autoregressive Modelling and Money-Income Causality Detection. Journal of Monetary Economics, 7 (1), 85 – 106. https://doi.org/10.1016/0304-3932(81)90053-2
  • Hussein, K. A. (2004). Ethical investment: empirical evidence from FTSE Islamic index. Islamic Economic Studies, 12(1), 21 – 40.
  • Jawadi, F., Jawadi, N., & Louhichi, W. (2014). Conventional and Islamic stock price performance: An empirical investigation. International Economics, 137, 73 – 87. https://doi.org/10.1016/j.inteco.2013.11.002.
  • Jebran, K., Chen, S., & Tauni, M. Z. (2017). Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan. Future Business Journal, 3(2), 98 – 106. https://doi.org/10.1016/j.fbj.2017.05.001.
  • Krasicka, O., & Nowak, S. (2012). What’s in it for me? A Primer on Differences between Islamic and Conventional Finance in Malaysia. IMF Working Paper 12/151, International Monetary Fund.
  • Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452 – 470. https://doi.org/10.1016/j.najef.2014.06.011.
  • Mensi, W., Hammoudeh, S., Al-Jarrah, I. M. W., Sensoy, A., & Kang, S.H. (2017). Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. Energy Economics, 67, 454 – 475. https://doi.org/10.1016/j.eneco.2017.08.031
  • Nagayev, R., Disli, M., Inghelbrecht, K., & Ng, A. (2016). On the dynamic links between commodities and Islamic equity. Energy Economics, 58, 125 – 140. https://doi.org/10.1016/j.eneco.2016.06.011.
  • Nazlioglu, S., Hammoudeh, S., & Gupta, R. (2015). Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test. Applied Economics, 47(46), 4996-5011. https://doi.org/10.1080/00036846.2015.1039705
  • Saadaoui, A., & Boujelbene, Y. (2015). Volatility Transmission Between Dow Jones Stock Index And Emerging Islamic Stock Index: Case Of Subprime Financial Crises. Emerging Markets Journal, 5(1), 41 – 49. https://doi.org/10.5195/emaj.2015.68
  • Rejeb, A. B. (2017). On the volatility spillover between lslamic and conventional stock markets: A quantile regression analysis. Research in International Business and Finance, 42, 794 – 815. https://doi.org/10.1016/j.ribaf.2017.07.017.
  • Sims, C. A. (1972). Money, Income, and Causality. The American Economic Review, 62 (4), 540 – 552. http://www.jstor.org/stable/1806097
  • 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
  • Umar, Z., & Suleman, T. (2017). Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities. Risks, 5(22), 1 – 18. https://doi.org/10.3390/risks5020022
  • Yılanci, V., & Bozoklu, S. (2014). Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi. Ege Academic Review, 14(2), 211 – 220. http://www.onlinedergi.com/makaledosyalari/51/pdf2014_2_5.pdf

BÖLGESEL İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ İLİŞKİLERİN ANALİZİ

Year 2017, ICMEB17 Özel Sayısı, 574 - 587, 01.12.2017

Abstract

İslam dünyasında İslami finansal kurumlar ekonominin temel kurumları haline gelmiştir. Başta Malezya, Kuveyt, Suudi Arabistan ve Birleşik Arap Emirlikleri olmak üzere pek çok Müslüman ülkede İslami finansal enstrüman çeşitliliği ve bu enstrümanlara yapılan yatırımların miktarı artmaktadır. Diğer yandan, geleneksel finansal yatırımlara alternatif olması nedeniyle gayrimüslim yatırımcılar da söz konusu enstrümanlara yatırım yapmakta ve başta İngiltere ve Singapur olmak üzere gayrimüslim ülkeler de yaptıkları yasal düzenlemelerle İslami finansal sisteme entegre olmaktadır. Bu bağlamda çalışmanın temel amacı bölgesel İslami hisse senedi endeksleri arasındaki ilişkilerinin zaman ve asimetri boyutunda tespit edilmesidir.

References

  • Abbes, M. B. (2012). Risk and Return of Islamic and Conventional Indices, International Journal of EuroMediterranean Studies, 5(1), 1-23. https://doi.org/10.1007/s40321-012-0001-9
  • 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 and Money, 28, 213 – 227. https://doi.org/10.1016/j.intfin.2013.11.004.
  • Al-Khazali, O., Lean, H. H., & Samet, A. (2014). Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach. Pacific-Basin Finance Journal, 28, 29 – 46. https://doi.org/10.1016/j.pacfin.2013.09.003.
  • Alexakis, C., Pappas, V., & Tsikouras, A. (2017). Hidden cointegration reveals hidden values in Islamic investments, Journal of International Financial Markets, Institutions and Money, 46, 2017, 70 – 83. https://doi.org/10.1016/j.intfin.2016.08.006.
  • Dania, A., & Malhotra, D. K. (2013). An Empirical Examination of the Dynamic Linkages of Faith-Based Socially Responsible Investing. The Journal of Wealth Management, 16(1), 65 – 79. https://doi.org/10.3905/jwm.2013.16.1.065
  • Girard, E. C., & Hassan, M. K. (2008). Is There a Cost to Faith-Based Investing: Evidence from FTSE Islamic Indices. The Journal of Investing, 17(4), 112 – 121. https://doi.org/10.3905/JOI.2008.17.4.112
  • Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross Spectral Methods. Econometrica, 37 (3), 424 – 438. https://doi.org/10.2307/1912791
  • Hatemi-J, A. (2012). Asymmetric Causality Tests with an Application. Empirical Economics, 43 (1), 447 – 456. https://doi.org/10.1007/s00181-011-0484-x
  • 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. Pacific-Basin Finance Journal, 28, 110 – 121. https://doi.org/10.1016/j.pacfin.2013.09.002.
  • Hsiao, C. (1981). Autoregressive Modelling and Money-Income Causality Detection. Journal of Monetary Economics, 7 (1), 85 – 106. https://doi.org/10.1016/0304-3932(81)90053-2
  • Hussein, K. A. (2004). Ethical investment: empirical evidence from FTSE Islamic index. Islamic Economic Studies, 12(1), 21 – 40.
  • Jawadi, F., Jawadi, N., & Louhichi, W. (2014). Conventional and Islamic stock price performance: An empirical investigation. International Economics, 137, 73 – 87. https://doi.org/10.1016/j.inteco.2013.11.002.
  • Jebran, K., Chen, S., & Tauni, M. Z. (2017). Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan. Future Business Journal, 3(2), 98 – 106. https://doi.org/10.1016/j.fbj.2017.05.001.
  • Krasicka, O., & Nowak, S. (2012). What’s in it for me? A Primer on Differences between Islamic and Conventional Finance in Malaysia. IMF Working Paper 12/151, International Monetary Fund.
  • Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452 – 470. https://doi.org/10.1016/j.najef.2014.06.011.
  • Mensi, W., Hammoudeh, S., Al-Jarrah, I. M. W., Sensoy, A., & Kang, S.H. (2017). Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. Energy Economics, 67, 454 – 475. https://doi.org/10.1016/j.eneco.2017.08.031
  • Nagayev, R., Disli, M., Inghelbrecht, K., & Ng, A. (2016). On the dynamic links between commodities and Islamic equity. Energy Economics, 58, 125 – 140. https://doi.org/10.1016/j.eneco.2016.06.011.
  • Nazlioglu, S., Hammoudeh, S., & Gupta, R. (2015). Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test. Applied Economics, 47(46), 4996-5011. https://doi.org/10.1080/00036846.2015.1039705
  • Saadaoui, A., & Boujelbene, Y. (2015). Volatility Transmission Between Dow Jones Stock Index And Emerging Islamic Stock Index: Case Of Subprime Financial Crises. Emerging Markets Journal, 5(1), 41 – 49. https://doi.org/10.5195/emaj.2015.68
  • Rejeb, A. B. (2017). On the volatility spillover between lslamic and conventional stock markets: A quantile regression analysis. Research in International Business and Finance, 42, 794 – 815. https://doi.org/10.1016/j.ribaf.2017.07.017.
  • Sims, C. A. (1972). Money, Income, and Causality. The American Economic Review, 62 (4), 540 – 552. http://www.jstor.org/stable/1806097
  • 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
  • Umar, Z., & Suleman, T. (2017). Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities. Risks, 5(22), 1 – 18. https://doi.org/10.3390/risks5020022
  • Yılanci, V., & Bozoklu, S. (2014). Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi. Ege Academic Review, 14(2), 211 – 220. http://www.onlinedergi.com/makaledosyalari/51/pdf2014_2_5.pdf
There are 24 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Research Article
Authors

Melik Kamışlı This is me

Serap Kamışlı This is me

Fatih Temizel This is me

Publication Date December 1, 2017
Submission Date May 18, 2022
Published in Issue Year 2017 ICMEB17 Özel Sayısı

Cite

APA Kamışlı, M., Kamışlı, S., & Temizel, F. (2017). BÖLGESEL İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ İLİŞKİLERİN ANALİZİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 13(13), 574-587.