DCC-GARCH Modeli Yardımıyla İslami Bankalar Arasındaki Etkileşimin Belirlenmesi

Abstract

Son yıllarda İslam ekonomilerindeki büyüme ve finansal sistemin gelişimiyle birlikte İslami bankaların finansal piyasalar üzerindeki etkileri artmıştır. İslami bankalar arasındaki finansal etkileşimlerin etkisini araştırmak, finansal istikrar açısından önemlidir. Çalışma İslami bankalar arası finansal etkileşimi Türkiye örneklemi üzerinden açıklamayı amaçlamaktadır. Çalışmada 2021 yılı aktif büyüklüklerine göre sıralanmış küresel İslami bankalar ve bir Türk İslami banka seçilerek oluşturulan örneklem üzerinden gerçekleştirilmektedir. Küresel dört büyük İslami banka seçiminde farklı ülkelerden olması dikkate alınarak ülkeler arası finansal etkileşim dikkate alınmaktadır. Bu çalışmada, finansal bulaşma etkisini ampirik olarak araştırmak için seçilen bankaların borsa fiyatı verileri değişken olarak kullanılmıştır. Beş farklı ülkenin İslami bankalar örneklem seçiminde borsada işlem görme kriteri günlük fiyatlara ulaşma açısından tercih edilmiştir. İslami finans sisteminin gelişmesi ve İslami bankaların büyümesine paralel olarak önemli olayların meydana geldiği bir dönemi kapsayan 02.08.2016 – 08.08.2022 tarihleri etkileşimin incelenmesi ve verilerin ulaşılabilirliği açısından seçilmiştir. Çalışmada dinamik koşullu korelasyonu tahmin etmek için bir DCC-GARCH modeli kullanılmıştır. Model kapsamında seçilen tarih aralığı günlük veri seti bakımından anlamlı sonuçlara ulaşmak için yeterli sayıda bulunmaktadır. Ampirik sonuçlar, İslami bankaların getirileri arasındaki finansal etkileşimin gerçekleştiğini göstermektedir. Ek olarak finansal aktarımın seçilen örneklemde yer alan tüm bankalar arasında gerçekleşmemektedir. Bulgular, Türkiye’deki İslami piyasayı temsilen seçilen İslami bankanın, diğer küresel bankalarla finansal bulaşma etkisinin varlığına işaret etmektedir. Türkiye, Kuveyt ve Suudi Arabistan bankaları arasında bir finansal etkileşim olduğu yönünde bulgular bulunmaktadır. En güçlü finansal etkileşimin model sonuçlarına göre Katar ve Birleşik Arap Emirlikleri’ne ait İslami bankalar arasında olduğu görülmektedir. Finansal etkileşiminin İslami bankalar arasında güçlü ve güçsüz şekilde süreklilik gösterebileceğini göstermektedir.

Keywords

• finansal etkileşim
• islami bankalar
• DCC-GARCH Model

Determining the Interaction Between DCC-GARCH Model and Islamic Banks

Abstract

In recent years, Islamic banks have gained increased influence in financial markets due to the growth of Islamic economies and the development of the financial system. This study focuses on investigating the financial interactions among Islamic banks, specifically within the Turkish Islamic banking sector. A sample is constructed, consisting of globally ranked Islamic banks based on their 2021 asset sizes, along with a selected Turkish Islamic bank. To examine the contagion effect, stock price data of the selected banks are used as variables. The sample includes Islamic banks from different countries to consider cross-country financial interactions. The analysis covers the period from August 2, 2016, to August 8, 2022, considering significant events related to the Islamic finance system's development and the growth of Islamic banks, as well as data availability. A DCC-GARCH model is employed to estimate dynamic conditional correlation. The empirical findings indicate the existence of financial interactions between the returns of Islamic banks. However, not all banks in the sample experience financial contagion. The study suggests the presence of a contagion effect between the selected Turkish Islamic bank and other global banks, indicating the influence of the Turkish market. Furthermore, financial interactions are observed between Turkish, Kuwaiti, and Saudi Arabian banks. The strongest financial interaction is found between Islamic banks from Qatar and the United Arab Emirates, demonstrating that financial interactions among Islamic banks can exhibit both strong and weak continuity.

Keywords

• Financial interaction
• Islamic Banks
• DCC-GARCH Model

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