THE PORTFOLIO MANAGEMENT WITH ISLAM EQUITY IN KOREA STOCK MARKET

Abstract

This paper investigated the volatility spillover effects between Islamic stock markets and Korean stock market using the AR-DCC-GARCH models. First, we found bi-directional volatility transmissions between the Islamic and Korean financial markets. Second, we compared the correlation of KOSPI-DJIM portfolio and that of KOSPI-SHX portfolio. It shows the former has stronger linkage than the latter. In the portfolio perspective, the S&P 500 Sharia stock Index (SHX) acts as a better hedge asset than DJIM against the risk of stock market. Lastly, the hedge ratio between two Islamic stock market and Korean stock market pairs is generally low, indicating that the Korean stock risk can be effectively hedged by taking a short position in the Islamic stock markets. In comparison with two pairs, the pair of KOSPI-SHX relatively shows a cheaper hedging cost than that of KOSP-DJIM pair. This evidence indicates that S&P 500 Sharia index serve more effective hedging role against the risk of Korean stock market. 

Keywords

• : Islamic market,Spillover effect,Hedge ratio

KORE STOK PAZARINDA İSLAM EŞİTLİ PORTFÖY YÖNETİMİ

Abstract

Bu makalede, AR-DCC-GARCH modelleri kullanılarak İslami borsalar ile Kore borsaları arasındaki oynaklıkların yayılma etkileri araştırılmıştır. İlk olarak, İslami ve Kore finans piyasaları arasında iki yönlü dalgalanmalar bulundu. İkincisi, KOSPI-DJIM portföyünün ve KOSPI-SHX portföyünün korelasyonunu karşılaştırdık. İlkinin ikincisinden daha güçlü bir bağlantı olduğunu gösterir. Portföy perspektifinde S & P 500 Sharia hisse senetleri endeksi (SHX), hisse senedi piyasası riskine karşı DJIM'den daha iyi bir hedging varlıkları olarak hareket etmektedir. Son olarak, iki İslami hisse senedi piyasası ile Koreli borsa çiftleri arasındaki risk oranı genel olarak düşüktür. Bu durum, Koreli hisse senedi piyasalarının İslami borsalarda kısa bir pozisyon alarak etkin bir şekilde korunabileceğini göstermektedir. İki çiftle karşılaştırıldığında, KOSPI-SHX çifti nispeten KOSP-DJIM çiftininkinden daha ucuz bir hedging maliyeti gösterir. Bu kanıt, S & P 500 Sharia endeksinin Koreli borsa riskine karşı daha etkin bir riskten korunma rolüne hizmet ettiğini göstermektedir.

Keywords

• İslami pazar,Spillover etkisi

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