COVID-19'UN İSLAMİ VE GELENEKSEL HİSSE SENEDİ ENDEKSLERİ ÜZERİNDEKİ ETKİSİ

Year 2023, , 27 - 55, 31.12.2023

Almabrok F Ahmid , Ensar Ağırman

https://doi.org/10.58686/marufiktisat.1322905

Abstract

Bu araştırmanın amacı, Covid-19 döneminde İslami hisse senedi endekslerini kapsamlı bir şekilde incelemek ve bunları geleneksel hisse senedi endeksleriyle karşılaştırmaktır. Araştırmamız, Covid-19'un İslami ve geleneksel hisse senedi endekslerinin getirileri üzerinde nasıl etkili olduğunu analiz etmeyi amaçlamaktadır. Başka bir deyişle, araştırma, ARIMA-X ve EGARCH-X modellerini kullanarak COVID-19'un İslami ve geleneksel hisse senedi endekslerinin getirileri ve oynaklığı üzerindeki etkisini analiz etmeyi hedeflemektedir. Bu amaç doğrultusunda, finansal hisse senedi getirisini tahmin etmek için İslami ve geleneksel hisse senedi endeksleri kullanılmış ve her ülkenin günlük vaka sayısına ilişkin dummy değişkeni COVID-19'un etkisini tahmin etmek için kullanılmıştır.
Araştırma, Covid-19 krizinden önce ve sırasında İslami ve geleneksel hisse senedi endekslerinde belirsizlik ve oynaklık düzeylerini incelemektedir. Ayrıca, İslami hisse senedi piyasalarını diğerleriyle karşılaştırır ve salgının bu piyasalara etkisini analiz eder. Bulgular istatistiksel olarak anlamlı sonuçlar ortaya koymaktadır ve belirli endekslerin %10, %5 ve %1 düzeylerinde anlamlılık gösterdiğini göstermektedir.
Genel olarak bakıldığında, Nijerya endekslerinin diğerleri arasında en çok etkilendiği söylenebilir, ayrıca belirsizlikten en az etkilenen ülkeler Endonezya ve Malezya'dır ve genel olarak İslami endeksler daha iyi performans göstermiştir. Sonuç olarak, İslami hisse senedi endekslerinin COVID-19'dan diğerleri gibi etkilendiği söylenebilir.

Keywords

İslami hisse senedi endeksleri, COVID-19, ARIMA-X modeli, EGARCH-X modeli.

Impact of COVID-19 on Islamic and conventional stock indexes

Abstract

The objectives of this research are to study Islamic stock indexes during the time of Covid-19 extensively and compare it with conventional stock indexes. Our research aims to analyse how stock returns indexes of Islamic and conventional have been affected by COVID-19. So, in other word, the research objected to analyse the effect of COVID-19 on the returns and volatility of Islamic and conventional stocks indexes by using ARIMA-X and EGARCH-X models. In keeping with this objective, the Islamic and conventional stocks indexes were used to estimate the financial stock return, and the dummy variable as of number of everyday cases of each country was used to estimate the effect of COVID-19.
The research investigates the levels of uncertainty and volatility in Islamic and conventional stock indexes prior to and during the Covid-19 crisis. Additionally, it compares Islamic stock markets with others and analyses the impact of the pandemic on these markets. The findings reveal statistically significant results, with certain indexes demonstrating significance at levels of 10%, 5%, and 1%.
By overall looking we can say that Nigerian indexes were affected the most among others which include the Islamic and the conventional, moreover the least affected by the uncertainty was in Indonesia and Malaysia and the Islamic indexes in general were better. We can conclude that Islamic stock indexes were affected like others by the COVID-19.

Keywords

Islamic stock indexes, COVID-19, ARIMA-X model, EGARCH-X model

References

• Abdul-Rahman, A., & Gholami, R. (2020). Islamic finance and COVID-19 recovery: the role profit-loss sharing contract. Jurnal Pengurusan, 59, 7-10.
• Abedifar, P., M. Ebrahim, S., Molyneux, P., & Tarazi, A. (2016). Islamic banking and finance: Recent empirical literature and directions for future research. A Collection of Reviews on Savings and Wealth Accumulation, 59-91.
• Adekoya, O. B., Oliyide, J. A., & Tiwari, A. K. (2022). Risk transmissions between sectoral Islamic and conventional stock markets during COVID-19 pandemic: What matters more between actual COV- ID-19 occurrence and speculative and sentiment factors?. Borsa Istanbul Review, 22(2), 363-376.
• Ahmed, A. (2010). Global financial crisis: an Islamic finance perspective. International Journal of Islam- ic and Middle Eastern Finance and Management, 3(4), 306-320.
• Alam, N., & Rajjaque, M. S. (2010). Shariah-compliant equities: Empirical evaluation of performance in the European market during credit crunch. Journal of Financial Services Marketing, 15, 228-240.
• Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of behavioral and experimental finance, 27, 100326.
• Aloui, C., Asadov, A., Al-kayed, L., Hkiri, B., & Danila, N. (2022). Impact of the COVID-19 outbreak and its related announcements on the Chinese conventional and Islamic stocks’ connectedness. The North American Journal of Economics and Finance, 59, 101585.
• Anh, D. L. T., & Gan, C. (2021). The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies, 48(4), 836-851.
• Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249.
• Ashraf, B. N. (2021). Stock markets’ reaction to COVID-19: Moderating role of national culture. Fi- nance Research Letters, 41, 101857.
• Ashraf, D. (2013). Performance evaluation of Islamic mutual funds relative to conventional funds: Empirical evidence from Saudi Arabia. International Journal of Islamic and Middle Eastern Finance and Management, 6(2), 105-121.
• Ashraf, D. (2016). Does Shari’ah screening cause abnormal returns? Empirical evidence from Islamic equity indices. Journal of Business Ethics, 134(2), 209-228.
• Ashraf, D., & Mohammad, N. (2014). Matching perception with the reality—Performance of Islamic equity investments. Pacific-Basin Finance Journal, 28, 175-189.
• Ashraf, D., Rizwan, M. S., & Ahmad, G. (2022). Islamic equity investments and the COVID-19 pandemic. Pacific-Basin Finance Journal, 73, 101765.
• Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. Boudt, K., Raza, M. W., & Ashraf, D. (2019). Macro-financial regimes and performance of Shariah-compliant equity portfolios. Journal of International Financial Markets, Institutions and Money, 60, 252-266.
• Brooks, C. (2019). STATA Guide for Introductory Econometrics for Finance. Cambridge University Press. Chapra, M. U. (1985). Towards a just monetary system: A discussion of money, banking and monetary policy in the light of Islamic teachings (Islamic economics series, No. 8). Herndon, Virginia: International Institute of Islamic Thought (IIIT). Herndon, Virginia: International Institute of Islamic Thought (IIIT).
• Chazi, A., & Syed, L. A. (2010). Risk exposure during the global financial crisis: the case of Islamic banks. International Journal of Islamic and Middle Eastern Finance and Management, 3(4), 321-333.
• Derigs, U., & Marzban, S. (2009). New strategies and a new paradigm for Shariah-compliant portfolio optimization. Journal of Banking & Finance, 33(6), 1166-1176.
• Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of The Econometric Society, 49 (4), 1057-1072.
• Dixit, A. K., & Pindyck, R. S. (1995). The new option view of investment.
• Ebrahim, M. S. (2009). Can an Islamic model of housing finance cooperative elevate the economic sta- tus of the underprivileged?. Journal of Economic Behavior & Organization, 72(3), 864-883.
• Elfakhani, S. M., Hassan, M. K., & Sidani, Y. M. (2007). 16 Islamic mutual funds. Handbook of Islamic banking, 256.
• ERDOĞAN, S., Gedikli, A., & Cevik, E. I. (2020). The effects of the covid-19 pandemic on conventional and islamic stock markets in Turkey. Bilimname, 2020(42), 89-110.
• Gao, X., Ren, Y., & Umar, M. (2022). To what extent does COVID-19 drive stock market volatility? A comparison between the US and China. Economic Research-Ekonomska Istraživanja, 35(1), 1686-1706.
• Gujarati, D. N. (2009). Basic Econometrics: McGraw-Hill Education.
• Gunning, G.J., Birry, A., Volland, E.F. (2020). Global Banking: Recovery Will Stretch To 2023 And Be- yond. S & P Global Ratings.
• Hassan, M. K., Chowdhury, M. I. H., Balli, F., & Hasan, R. (2022). A note on COVID-19 instigated maximum drawdown in Islamic markets versus conventional counterparts. Finance Research Letters, 46, 102426.
• Hoepner, A. G., Rammal, H. G., & Rezec, M. (2011). Islamic mutual funds’ financial performance and international investment style: evidence from 20 countries. The European Journal of Finance, 17(9-10), 829-850.
• Hudson, R. S., & Gregoriou, A. (2015). Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns. International Review of Financial Analysis, 38, 151-162.
• Irfan, M., Kassim, S., & Dhimmar, S. (2021). Impact of Covid-19 on Islamic stock markets: an investigation using threshold volatility and event study models. International Journal of Islamic Economics and Finance (IJIEF), 4(1), 121-148.
• Kayed, R. N., & Hassan, M. K. (2011). The global financial crisis and Islamic finance. Thunderbird International Business Review, 53(5), 551-564.
• Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H., & Jahanger, A. (2020). The impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. The Journal of Asian Finance, Economics and Business, 7(7), 463-474.
• Masih, M., Kamil, N. K., & Bacha, O. I. (2018). Issues in Islamic equities: A literature survey. Emerging Markets Finance and Trade, 54(1), 1-26.
• Mohammad, N., & Ashraf, D. (2015). The market timing ability and return performance of Islamic equities: An empirical study. Pacific-Basin Finance Journal, 34, 169-183.
• Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370.
• Nguyen, C. T., Hai, P. T., & Nguyen, H. K. (2021). Stock market returns and liquidity during the COV- ID-19 outbreak: evidence from the financial services sector in Vietnam. Asian journal of Economics and Banking, 5(3), 324-342.
• Nomran, N. M., & Haron, R. (2021). The impact of COVID-19 pandemic on Islamic versus conventional stock markets: international evidence from financial markets. Future Business Journal, 7(1), 1-16.
• Quinsee, P. (2020). Global Equity Views 2Q 2020. Retrieved from https://am.jpmorgan.com/us/en/ asset-management/gim/adv/insights/portfolio-insights/global-equity-views .
• Öztürk, Ö., Şişman, M. Y., Hakan, U. S. L. U., & ÇITAK, F. (2020). Effects of COVID-19 outbreak on Turkish stock market: A sectoral-level analysis. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13(1), 56-68.
• Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
• Rabhi, A. (2020). Stock market vulnerability to the COVID-19 pandemic: Evidence from emerging Asian stock market. Journal of Advanced Studies in Finance (JASF), 11(22), 126-131.
• Raza Rabbani, M., Asad Mohd. Ali, M., Rahiman, H. U., Atif, M., Zulfikar, Z., & Naseem, Y. (2021). The response of Islamic financial service to the COVID-19 pandemic: The open social innovation of the financial system. Journal of Open Innovation: Technology, Market, and Complexity, 7(1), 85.
• Roy, S., & Kemme, D. M. (2020). The run-up to the global financial crisis: A longer historical view of financial liberalization, capital inflows, and asset bubbles. International Review of Financial Analysis, 69, 101377.
• Saiti, B., Bacha, O. I., & Masih, M. (2014). The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors. Borsa Istanbul Review, 14(4), 196- 211.
• Saleem, A., Bárczi, J., & Sági, J. (2021). Covid-19 and Islamic stock index: Evidence of market behavior and volatility persistence. Journal of Risk and Financial Management, 14(8), 389.
• Salisu, A. A., & Sikiru, A. A. (2021). Pandemics and the Asia-pacific Islamic stocks. Asian Economics Letters, 1(1), 1-5.
• Salisu, A. A., & Shaik, M. (2022). Islamic Stock indices and COVID-19 pandemic. International Review of Economics & Finance, 80, 282-293.
• Shahzad, S. J. H., & Naifar, N. (2022). Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic? The North American Journal of Economics and Finance, 59, 101635.
• Shear.F, Ashraf, B. N. (2022). The performance of Islamic versus conventional stocks during the COV- ID-19 shock: Evidence from firm-level data. Research in International Business and Finance, 60, 101622.
• Sherif, M. (2020). The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis. Journal of Behavioral and Experimental Finance, 28, 100403.
• Tahir, M., & Ibrahim, S. (2020). The performance of Shariah-compliant companies during and after the recession period–evidence from companies listed on the FTSE all world index. Journal of Islamic Accounting and Business Research, 11(3), 573-587.
• Welling, J. (2020). S&P and Dow Jones Islamic Indices Continue Outperformance in Q1 2020 Retrieved from https://www.spglobal.com/en/research-insights/articles/sp-and-dow-jones-islamic-in- dices-continue-outperformance-in-q1-2020.