THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH

Ali Osman Öztop; Tuna Köse

doi:10.54863/jief.1911644

TR EN

Öz

PETROL FİYATLARI VE VIX'İN DOW JONES İSLAMİ PİYASALAR (DJIM) SEKTÖREL GETİRİLERİ ÜZERİNDEKİ ETKİSİ: QARDL YAKLAŞIMI İLE BİR ANALİZ

Öz

Bu çalışmada petrol fiyatları ve küresel belirsizliğin İslami sektör getirileri üzerindeki etkisi incelenmiştir. Bu amaçla Brent petrol fiyatları ve Volatilite Endeksi’nin (VIX) Dow Jones İslami Piyasalar Endeksi (DJIM) bünyesindeki 10 sektörel endeks getirisini, 4 Ocak 2016 – 12 Ocak 2026 dönemi haftalık verileriyle Kantil ARDL (QARDL) yaklaşımıyla ele alıyoruz. Çalışmamızın ilk bulgusu, Brent petrol fiyatlarının sektörel getiriler üzerindeki etkisinin kantiller arasında asimetrik bir örüntü izlediğidir. Buna göre ayı piyasası koşullarında gözlenen pozitif ilişki, boğa piyasası koşullarında negatife dönmektedir ve kantiller arasındaki asimetrik geçişler tüm 10 sektör için Wald testi sonuçları tarafından doğrulanmaktadır. Bununla birlikte, bireysel uzun vadeli Brent katsayıları enerji bağlantılı sektörler dışında çoğunlukla istatistiksel olarak anlamsız kalmaktadır. VIX tarafında ise tüm sektörlerde negatif ve istatistiksel olarak anlamlı bir etki tespit ediyoruz. En duyarlı sektörler Teknoloji ve Sanayi iken, Petrol ve Gaz ile Telekomünikasyon sektörleri en düşük hassasiyeti göstermektedir. Bulgular, İslami piyasaların küresel belirsizlik şoklarından tamamen yalıtılmış olmadığını açıkça ortaya koymaktadır. Ayrıca COVID-19 dönemi, özellikle yüksek kantillerde getiri tepkisini güçlendirerek volatiliteyi artırmış; bu etki en güçlü Petrol ve Gaz sektöründe gözlenmiştir.

Anahtar Kelimeler

İslami hisse senedi piyasaları, QARDL, Petrol fiyatları, VIX, Asimetrik etki

THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH

Öz

In this study, the effects of oil prices and global uncertainty on Islamic sector returns were examined. For this purpose, we address Brent crude oil prices and Volatility Index (VIX) on 10 sectoral index returns within the Dow Jones Islamic Markets Index (DJIM) using the Quantile ARDL (QARDL) approach with weekly data for the period January 4, 2016 – January 12, 2026. The first finding of our study is that the point estimates of the Brent oil price effect on sectoral returns follow an asymmetric pattern across quantiles. According to this, the positive relationship observed under bear market conditions shifts to negative under bull market conditions, and asymmetric transitions across quantiles are confirmed by Wald test results for all 10 sectors. However, the individual long-run Brent coefficients remain largely statistically insignificant outside energy-linked sectors. On the VIX side, we identify a negative and statistically significant effect across all sectors. The most sensitive sectors are Technology and Industrials, while Oil & Gas and Telecommunications sectors exhibit the lowest sensitivity. The findings clearly demonstrate that Islamic markets are not completely insulated from global uncertainty shocks. Additionally, the COVID-19 period increased volatility by amplifying return responses, particularly in the higher quantiles, with this effect being most pronounced in the Oil & Gas sector.

Anahtar Kelimeler

Islamic stock markets, QARDL, Oil prices, VIX, Asymmetric impact

Kaynakça

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Ayrıntılar

Birincil Dil

İngilizce

Konular

İslam Finansı

Bölüm

Araştırma Makalesi

Yazarlar

Ali Osman Öztop
0000-0002-7568-5927
Türkiye

Tuna Köse ^*
0000-0002-8703-0215
Türkiye

Yayımlanma Tarihi

1 Temmuz 2026

Gönderilme Tarihi

17 Mart 2026

Kabul Tarihi

11 Haziran 2026

Yayımlandığı Sayı

Yıl 2026 Cilt: 12 Sayı: 1

DOI

https://doi.org/10.54863/jief.1911644

IZ

https://izlik.org/JA87DW86RN

APA

Öztop, A. O., & Köse, T. (2026). THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH. İslam Ekonomisi ve Finansı Dergisi (İEFD), 12(1), 169-212. https://doi.org/10.54863/jief.1911644

AMA

1.Öztop AO, Köse T. THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH. JIEF. 2026;12(1):169-212. doi:10.54863/jief.1911644

Chicago

Öztop, Ali Osman, ve Tuna Köse. 2026. “THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH”. İslam Ekonomisi ve Finansı Dergisi (İEFD) 12 (1): 169-212. https://doi.org/10.54863/jief.1911644.

EndNote

Öztop AO, Köse T (01 Temmuz 2026) THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH. İslam Ekonomisi ve Finansı Dergisi (İEFD) 12 1 169–212.

IEEE

[1]A. O. Öztop ve T. Köse, “THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH”, JIEF, c. 12, sy 1, ss. 169–212, Tem. 2026, doi: 10.54863/jief.1911644.

ISNAD

Öztop, Ali Osman - Köse, Tuna. “THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH”. İslam Ekonomisi ve Finansı Dergisi (İEFD) 12/1 (01 Temmuz 2026): 169-212. https://doi.org/10.54863/jief.1911644.

JAMA

1.Öztop AO, Köse T. THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH. JIEF. 2026;12:169–212.

MLA

Öztop, Ali Osman, ve Tuna Köse. “THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH”. İslam Ekonomisi ve Finansı Dergisi (İEFD), c. 12, sy 1, Temmuz 2026, ss. 169-12, doi:10.54863/jief.1911644.

Vancouver

1.Ali Osman Öztop, Tuna Köse. THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH. JIEF. 01 Temmuz 2026;12(1):169-212. doi:10.54863/jief.1911644

Öz

PETROL FİYATLARI VE VIX'İN DOW JONES İSLAMİ PİYASALAR (DJIM) SEKTÖREL GETİRİLERİ ÜZERİNDEKİ ETKİSİ: QARDL YAKLAŞIMI İLE BİR ANALİZ

Öz

Anahtar Kelimeler

THE IMPACT OF OIL PRICES AND VIX ON DOW JONES ISLAMIC MARKETS (DJIM) SECTORAL RETURNS: AN ANALYSIS WITH THE QARDL APPROACH

Öz

Anahtar Kelimeler

Kaynakça

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Konular

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Yayımlandığı Sayı

DOI

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