TY  - JOUR
T1  - DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL
TT  - TÜRKİYE İSLAMİ HİSSE SENEDİ PİYASASI VE KÜRESEL MAKROEKONOMİK RİSK FAKTÖRLERİ ARASINDAKİ DİNAMİK İLİŞKİLER: DCC-GARCH MODELİNDEN KANITLAR
AU  - Balcı, Nehir
PY  - 2025
DA  - April
Y2  - 2025
DO  - 10.58884/akademik-hassasiyetler.1590078
JF  - Akademik Hassasiyetler
PB  - Hüzeyfe Süleyman ARSLAN
WT  - DergiPark
SN  - 2148-5933
SP  - 399
EP  - 428
VL  - 12
IS  - 27
LA  - en
AB  - Over the past two decades, Islamic finance has gained increasing prominence, with Islamic equities emerging as particularly attractive to investors. This study aims to investigate the volatility transmission between the Turkish Islamic stock market and selected global macroeconomic risk factors, specifically the US Dollar Index, the CBOE Gold Volatility Index, the CBOE Crude Oil Volatility Index, and the CBOE Volatility Index. We use the DCC-GARCH model with the daily data set from April 11, 2013, to April 25, 2024 to examine the dynamic connectiveness between the indexes. The results of the study show that there is a negative interaction between macroeconomic risk factors and the Turkish Islamic stock market. There is a volatility transmission from all macroeconomic risk factors to the Turkish Islamic stock market in the long-term investment period, but there is a volatility transmission only from the US dollar index to the Turkish Islamic stock market in the short-term investment period. Investors view the Turkish Islamic stock market as a safe haven, less susceptible to macroeconomic risk indicators, and less integrated with the international financial system in the short term. According to the findings of the DCC-GARCH model, investments in the Turkish-Islamic equity market should be viewed as riskier over the long term due to the transmission of volatility between selected macroeconomic risk factors and the Turkish-Islamic equity market. This study provides valuable insights for investors and portfolio managers seeking to enhance their portfolio management strategies.
KW  - Islamic Finance
KW  - Volatility Spillovers
KW  - Turkish Islamic Stock Market
KW  - Macroeconomic Indicators
KW  - DCC-GARCH
N2  - Son yirmi yılda İslami finans, özellikle de geniş bir yatırım cazibesine sahip olan İslami hisse senetleri giderek daha önemli hale gelmiştir.  Bu çalışmanın amacı, Türk İslami Hisse Senedi Piyasası ile ABD Dolar Endeksi, CBOE Altın Oynaklık Endeksi, CBOE Ham Petrol Oynaklık Endeksi ve CBOE Oynaklık Endeksi gibi seçili küresel makroekonomik risk faktörleri arasındaki oynaklık aktarımını araştırmaktır. Değişkenler arasındaki dinamik ilişkiyi incelemek için 1 Mart 2013 ile 25 Nisan 2024 tarihleri arasındaki günlük veri seti ile DCC-GARCH modeli kullanılmıştır. Çalışmanın sonuçları, makroekonomik risk faktörleri ile Türk İslami hisse senedi piyasası arasında negatif bir etkileşim olduğunu göstermektedir. Uzun vadeli yatırım döneminde tüm makroekonomik risk faktörlerinden Türk İslami hisse senedi piyasasına bir volatilite aktarımı varken, kısa vadeli yatırım döneminde sadece ABD doları endeksinden Türk İslami hisse senedi piyasasına bir volatilite aktarımı vardır. Kısa vadede, Türk İslami hisse senedi piyasası yatırımcılar için güvenli bir liman olarak hizmet vermekte, küresel risklerden daha az etkilenmekte ve küresel finansal sistemle daha az entegrasyona sahiptir. DCC-GARCH modelinin sonuçları ayrıca, seçilen tüm makroekonomik risk faktörleri ile Türk-İslam hisse senedi piyasası arasında uzun vadede bir volatilite aktarımı olduğundan, Türk-İslam hisse senedi piyasasına yapılan yatırımların uzun vadeli yatırım döneminde daha riskli olarak değerlendirilmesi gerektiğini göstermektedir. Bu çalışma, portföy yönetimi stratejilerini geliştirmek isteyen portföy yöneticileri ve yatırımcılar için değerli bilgiler sunmaktadır.
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UR  - https://doi.org/10.58884/akademik-hassasiyetler.1590078
L1  - https://dergipark.org.tr/tr/download/article-file/4388168
ER  -