Sukuk Teknoloji Temelli Finansal Varlıkları Tamamlayabilir mi? Zamanla Değişen Piyasa Etkinliği ve Çoklu Fraktal Bağlantılılıktan Kanıtlar

Abstract

Blok zinciri, merkeziyetsiz finans ve tokenizasyon alanındaki gelişmeler, Sukuk’un teknoloji temelli finansal varlıkları tamamlayıcı bir rol üstlenip üstlenemeyeceği sorusunu gündeme getirmiştir. Bu çalışma, 25 Mayıs 2020–29 Kasım 2023 döneminde Sukuk endeksleri, DeFi tokenları, borç verme ve borç alma tokenları ile FinTech endeksinin zamanla değişen piyasa etkinliğini ve çoklu fraktal dinamiklerini karşılaştırmaktadır. TGARCH, doğrusal olmama ve uzun hafıza testleri, MF-DFA ve MF-DCCA yöntemleriyle şok kalıcılığı, asimetrik oynaklık, piyasa etkinliği ve piyasalar arası bağımlılık incelenmiştir. Bulgular, negatif şokların oynaklığı pozitif şoklardan daha güçlü artırdığını ve tüm piyasaların doğrusal olmayan, çoklu fraktal özellikler taşıdığını göstermektedir. Özellikle RMENA ve RDJSUKUK endeksleri, teknoloji temelli varlıkların çoğuna kıyasla daha düşük piyasa eksiklik değerleri sergilemektedir. Ancak kalıcı çapraz korelasyonlar, Sukuk’un bu varlıkların doğrudan ikamesi olmadığını göstermektedir. Bulgular, Sukuk’un teknolojiye maruz portföylerde görece istikrarlı ve etkin bir tamamlayıcı varlık olabileceğine işaret etmektedir. Anahtar Kelimeler: Sukuk, DeFi Varlıkları, Token, Finansal Ekonomi,, MF-DFA, MF-DCCA JEL Sınıflandırması: F65, E44, G15, C58

Keywords

• Sukuk
• DeFi Varlıkları
• Token
• Finansal Ekonomi
• MF-DFA
• MF-DCCA

Can Sukuk Complement Technology-Based Financial Assets? Evidence from Time-Varying Market Efficiency and Multifractal Connectedness

Abstract

Rapid developments in blockchain, decentralized finance, and tokenization have raised the question of whether Sukuk can complement technology-based financial assets. This study compares the time-varying efficiency and multifractal dynamics of Sukuk indices, DeFi tokens, lending and borrowing tokens, and a FinTech index from May 25, 2020, to November 29, 2023. Using TGARCH, nonlinearity and long-memory tests, MF-DFA, and MF-DCCA, the study examines shock persistence, asymmetric volatility, market efficiency, and cross-market dependence. The findings show that negative shocks increase volatility more strongly than positive shocks and that all markets display nonlinear and multifractal behavior. Sukuk indices, particularly RMENA and RDJSUKUK, show lower market deficiency values than most technology-based assets. However, persistent cross-correlations indicate that Sukuk is not a direct substitute for these assets. Rather, Sukuk may serve as a relatively stable and efficient complementary asset in technology-exposed portfolios. Key Words: Sukuk, DeFi assets, Tokenization, Financial Economics, MF-DFA, MF-DCCA JEL Classification: F65, E44, G15, C58

Keywords

• Sukuk
• DeFi assets
• Tokenization
• Financial Economics
• MF-DFA
• MF-DCCA

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