Kripto Para Birimleri ve İslami Hisse Senedi Endeksleri Arasındaki Zamanla Değişen Korelasyonlar ve Volatilite Yayılımları: Endonezya, Pakistan ve Hindistan

Öz

Bu çalışma, Endonezya, Pakistan ve Hindistan’daki hisse senedi endeksleri ile kripto para birimleri arasındaki eş hareketler ve oynaklık yayılma dinamiklerini araştırılmaktadır. Çalışmada, 4 Ocak 2017 ile 4 Ocak 2025 arasındaki getiri serilerine BEKK-GARCH ve DCC-GARCH modelleri uygulanarak piyasalar arası oynaklık yayılmaları ve dinamik korelasyonlar incelenmektedir. Ampirik bulgular, Ethereum ve Pakistan hariç, kripto para birimlerinden geleneksel İslami finans piyasalarına tek yönlü bir volatilite aktarımı olduğunu göstermektedir. Ethereum ve Pakistan borsası arasında zayıf bir çift yönlü taşma etkisi gözlemlenmektedir. DCC-GARCH sonuçları, kripto para varlıklarından İslami borsalara olan volatilite yayılımlarının kısa vadede minimum düzeyde olduğunu, ancak uzun vadede önemli ölçüde arttığını ortaya koymaktadır. Bu durum, kripto para varlıklarının İslami finans piyasalarıyla entegrasyonunun güçlendiğini ve bu korelasyonun uzun vadede devam etmesinin muhtemel olduğunu göstermektedir. Kripto para varlıkları ile İslami borsalar arasındaki güçlü entegrasyon, kripto para varlıklarının bu piyasaların finansal sistemi içinde oluşturduğu riskleri artırmaktadır. Bu entegrasyon, finansal sistemin genel istikrarı üzerinde de etkilere sahip olabilir. İslami finans piyasalarının istikrarını korumak için, politika yapıcılar ve piyasa düzenleyicileri, oynaklık iletim mekanizmaları hakkında kapsamlı bir anlayış geliştirmeli ve kripto varlık oynaklığından kaynaklanan olası aksaklıkları önlemek için bunları aktif olarak izlemelidir.

Anahtar Kelimeler

• Kripto para
• İslami piyasalar
• Volatilite yayılımı
• Dinamik korelasyonlar
• BEKK-GARCH
• DCC-GARCH

Time-Varying Correlations and Volatility Spillovers Between Cryptocurrencies and Islamic Equity Indices: Indonesia, Pakistan and India

Öz

This study investigates the co-movements and volatility spillover dynamics between cryptocurrencies and Islamic equity indices in Indonesia, Pakistan and India addresses the scarcity of comparative evidence for these major developing economies. The study examines volatility spillovers and dynamic correlations across markets based on return series from January 4, 2017, to January 4, 2025, employing BEKK-GARCH and DCC-GARCH models. Empirical results reveal a unidirectional transmission of volatility from cryptocurrencies to Islamic equities, except for Ethereum and Pakistan, where a weak bidirectional spillover is observed. The analysis uncovers a time-horizon dichotomy. Short-term spillovers remain limited. Dynamic correlations intensify significantly over the long run. This suggests a growing integration between cryptocurrency assets and Islamic stock markets indices. Cryptocurrencies act as diversifiers in the short run and their role as hedges weakens over the long term. This deeper integration increases the exposure of Islamic financial systems to cryptocurrency-induced risks and may affect overall financial stability. These results highlight the need for regulators and policymakers to closely monitor volatility transmission channels and enhance oversight mechanisms. A clear understanding of these dynamics is essential to mitigate the risk of systemic disruptions and ensure the resilience of Islamic financial markets amid the growing influence of digital assets.

Anahtar Kelimeler

• Cryptocurrency
• Islamic stock market
• Volatility spillover
• Dynamic correlations
• BEKK-GARCH
• DCC-GARCH

Kaynakça

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