STRUCTURE OF THE VOLATILITY RELATIONSHIP BETWEEN ISLAMIC STOCK INDICES

Abstract

Islamic stock indices are the indices consisted of the stocks of companies operating in areas that are allowed by Islamic rules. The principle aim of the investors investing in Islamic financial instruments is, quite similar to investors of traditional instruments, to obtain maximum return with the minimum risk. For this purpose, investors make analyses on assets and markets in their decision processes. One of these analyses is the determination of the structure of the volatility relationships. Volatility relationships may have constant or dynamic structure. This situation is one of the factor that should be considered in determining investment strategies. Dynamic correlation model test developed by Engle and Sheppard (2001) is one of the test that is used for determining the structure of the volatility relationships. In this context, in the study structure of the volatility relationships between the returns of Islamic stock indices of USA, India, UK, Japan, Kuwait, Malaysia, Sri Lanka and Turkey, for the period between 15.09.2018-06.06.2019, using Engle and Sheppard (2001) dynamic correlation model test. The results generally indicate the existence of a dynamic volatility relationships between the index returns.

Keywords

• Islamic stock indices,Dynamic correlation model test,Financial economics,Risk management

İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI

Abstract

İslami hisse senedi endeksleri, İslami kurallara uygun olarak belirlenen alanlarda faaliyet gösteren şirketler baz alınarak oluşturulan endekslerdir. İslami finansal araçlara yatırım yapan yatırımların temel amacı, geleneksel finansal araçlara yatırım yapan yatırımcılara benzer şekilde minimum risk ile maksimum getiriyi sağlamaktır. Bu amaçla yatırımcılar karar süreçlerinde varlıklara ve piyasalara ilişkin analizler yapmaktadır. Bu analizlerden biri de varlıklar arasındaki oynaklık ilişkilerinin yapısının belirlenmesidir. Oynaklık ilişkileri sabit veya dinamik yapıda olabilmektedir. Bu durum ise yatırım stratejilerinin belirlenmesinde dikkate alınması gereken bir faktördür. Oynaklık ilişkilerinin yapısının belirlenmesinde kullanılan testlerden biri Engle ve Sheppard (2001) tarafından geliştirilen dinamik korelasyon model testidir. Bu bağlamda çalışmada 15.09.2008 - 06.06.2019 tarihleri kapsamında ABD, Hindistan, İngiltere, Japonya, Kuveyt, Malezya, Sri Lanka ve Türkiye İslami hisse senedi endeks getirileri arasındaki oynaklık ilişki yapısı, Engle ve Sheppard (2001) dinamik korelasyon model testi ile sınanmıştır. Çalışma sonucunda, söz konusu endeks getirileri arasında genellikle dinamik oynaklık ilişkisi bulunduğu tespit edilmiştir.

Keywords

• İslami hisse senedi endeksleri,Dinamik korelasyon model testi,Finansal ekonomi,Risk yönetimi

References

1. Abbes, M. B., ve Trichilli, Y. (2015) “Islamic stock markets and potential diversification benefits”, Borsa Istanbul Review, 15(2): 93-105.
2. Abdul Karim, B., Akila Mohd. Kassim, N., ve Affendy Arip, M. (2010) “The subprime crisis and Islamic stock markets integration”, International Journal of Islamic and Middle Eastern Finance and Management, 3(4): 363-371.
3. Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., ve 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.
4. Al-Zoubi, H.A. ve Maghyereh, A.I. (2007) “The relative risk performance of Islamic finance: a new guide to less risky investments”, International Journal of Theoretical and Applied Finance, 10(4): 235-249.
5. Arshad, S. ve Rizvi, S. A. R. (2013) “The impact of global financial shocks to Islamic indices: speculative influence or fundamental changes?, Journal of Islamic Finance, 176(814): 1-11.
6. Başarır, Ç. (2018) “Volatility Structure of Stock Price Index and Exchange Rates: Casuality Analysis for Turkey”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 9(24): 330-349.
7. Çelik, İ., Özdemir, A. ve Gülbahar, S. D. (2018) “İslami Hisse Senedi Endeksleri Arasında Getiri ve Volatilite Yayılımı: Gelişmiş ve Gelişmekte Olan Piyasalarda Çok Değişkenli VAR-EGARCH Uygulaması”, Muhasebe ve Finans İncelemeleri Dergisi, 1(2): 89-100.
8. Dania, A. ve 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.

9. Engle, R. F. ve Sheppard, K. (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, National Bureau of Economic Research, No. 8554.
10. Girard, E. ve Hassan, M.K. (2008) “Is there a cost to faith-based investing: Evidence from FTSE Islamic indices?, The Journal of Investing, 17: 112-121.
11. Hammoudeh, S., Mensi, W., Reboredo, J. C. ve Nguyen, D. K. (2014) “Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors”, Pacific-Basin Finance Journal, 30: 189-206.
12. Hassan, M.K. (2002) “Risk, return and volatility of faith-based investing: the case of Dow Jones Islamic Index”, 5th Harvard University Forum on Islamic Finance, Harvard University, 43-67.
13. Hussein, K. (2004) “Ethical investment: empirical evidence from FTSW Islamic index”, Islamic Economic Studies, 12(1): 21-40.
14. Hussin, M. Y. M., Yusof, Y. A., Muhammad, F., Razak, A. A., Hashim, E. ve Marwan, N. F. (2013) “The integration of Islamic stock”, Labuan e-journal of Muamalat and society, 7: 17-27.
15. Kamışlı, M., Esen, E. ve Temizel, F. (2018) “Spot ve Future Piyasaları Arasındaki Oynaklık İlişki Yapısının Belirlenmesi”, IMASCON 2018 Uluslararası Marmara Fen ve Sosyal Bilimler Kongresi, 23 – 25 Kasım, Kocaeli, Türkiye.
16. Majdoub, J. ve 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.
17. Majid, M. S. A. ve Kassim, S. H. (2010) “Potential diversification benefits across global Islamic equity markets”, Journal of Economic Cooperation and Development, 31(4): 103-126.
18. Nasr, A. B., Lux, T., Ajmi, A. N. ve Gupta, R. (2016) “Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching”, International Review of Economics & Finance, 45: 559-571.
19. Nurrachmi, R. (2018) “Movements of Islamic Stock Indices in Selected OIC Countries”, Jurnal Al-Muzara’ah, 6(2): 77-90.
20. Rejeb, A. B. ve Arfoui, M. (2019) “Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach”, European Journal of Management and Business Economics, DOI 10.1108/EJMBE-08-2018-0088
21. Saiti, B., Bacha, O. I. ve 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.
22. Shahzad, S. J. H., Ferrer, R., Ballester, L. ve Umar, Z. (2017) “Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis”, International Review of Financial Analysis, 52: 9-26.
23. World Bank Group (2018) Islamic Finance Bulletin, Issue 35, May 2018.