İslami Borsalarda Fiyat Hareketleri

Year 2019, Volume: 8 Issue: 2, 148 - 159, 12.06.2019

Mercan Hatipoğlu

Abstract

Bu çalışmanın amacı gelişmiş ve gelişmekte olan
ülkelerin İslami finans kriterlerine uygun olarak belirlenen hisse
senetlerinden oluşan borsa endekslerinin fiyat hareketleri hakkında bilgi
edinmektir. Çalışmada veri olarak Mayıs 2002 ile Eylül 2018 dönemi arası aylık
veriler kullanılırken, yöntem olarak regresyon, varyans rasyo testi ve koşu
testinden yararlanılmıştır. Çalışmanın sonucunda, Endonezya İslami borsasının
beklenen getirisinin en yüksek olduğu, en riskli İslami endeksin ise Türkiye’de
faaliyet gösteren İslami şirketlerden oluştuğu tespit edilmiştir.
Yatırımcıların piyasa zamanlama yeteneği açısından ise İngiltere ve Endonezya
İslami endekslerine yatırım yapanların piyasayı öngörmede başarılı olamadıkları
tespit edilmiştir.

Keywords

İslami Borsa Endeksleri, Piyasa Etkinliği, Fiyat Hareketleri

PRICE MOVEMENTS IN ISLAMIC STOCK EXCHANGES ABSTRACT

Abstract

The purpose of the study is to obtain information
about the price movements of stock indices which are composed of stocks determined
in accordance with Islamic finance criteria of developed and developing
countries. We use monthly data between May 2002 and September 2018 and also
utilesed from regression analysis, variance ratio test and running test. In
conclusion, we obtain that the expected return of Indonesian Islamic stock
exchange is the highest and it was determined that the most risky Islamic index
is composed of Islamic companies operating in Turkey. In terms of market timing capability of investors, it
was determined that those who invested in the UK and Indonesia Islamic indices
were not successful in predicting the market.

Keywords

Islamic Stock İndices, Market Efficiency, Price Movements

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