The Relationship Between Islamic and Conventional Equity Market Indices under the Fear Index Effect: The Case of Türkiye

Öz

This study analyses the impact of the VIX index, which measures the degree of fear in the markets, on conventional and Islamic equity markets in Turkiye. The study also analyses the relationship between the two markets (Conventional-Islamic) in terms of causality. The study analyses the causality relationship between the variables under consideration using a cumulative frequency causality test that augments the Toda-Yamamoto procedure with the Fourier function (Fourier Toda-Yamamoto-FTY). The objective of this study is to enhance the existing body of knowledge by elucidating the causal relationship between distinct categories of stocks and the impact exerted by the VIX index on these financial markets. Furthermore, it aims to offer valuable insights into investor decision-making processes, ultimately striving to strengthen the emerging Islamic markets within the Turkiye market. In the analyses conducted with the data covering the 2019/January-2023/May period, it was observed that the VIX index was effective on conventional and Islamic equity markets with a unilateral causality relationship. At the same time, it is determined that there is a mutual causality relationship between both markets.

Anahtar Kelimeler

• Fourier Toda-Yamamoto
• Participation Index
• Islamic Finance
• BIST 100

Korku Endeksi Etkisinde İslami ve Konvansiyonel Pay Piyasa Endeksleri Arasındaki İlişki: Türkiye Örneği

Öz

Bu çalışma Türkiye örneği üzerinde piyasalardaki korkunun derecesini ölçen VIX endeksinin konvansiyonel ve İslami pay piyasaları üzerindeki etkisini analiz etmektedir. Çalışma aynı zamanda her iki piyasanın (Konvansiyonel ve İslami) birbirleriyle ilişkisini de nedensellik çerçevesinde ortaya koymaktadır. Çalışma değerlendirmeye konu değişkenler arasındaki nedensellik ilişkisini Toda-Yamamoto prosedürünü Fourier fonksiyonu ile zenginleştiren kümülatif frekanslı bir nedensellik testi kullanarak (Fourier Toda-Yamamoto-FTY) analiz etmektedir. Bu çalışmanın amacı gerek iki pay grubu arasındaki nedensellik ilişkisini gerekse bu piyasalar üzerinde VIX endeksinin etkisini ortaya koyarak bir taraftan literatüre katkıda bulunmak diğer taraftan gelişen İslami piyasaların Türkiye pazarında da güçlenmesi adına yatırımcı kararlarına ışık tutmaktır. 2019/Ocak-2023/Mayıs dönemini kapsayan verilerle yapılan analizlerde VIX endeksinin konvansiyonel ve İslami pay piyasaları üzerinde tek taraflı nedensellik ilişkisi ile etkili olduğu ve aynı zamanda her iki piyasa arasında karşılıklı nedensellik ilişkisinin olduğu görülmüştür.

Anahtar Kelimeler

• Fourier Toda-Yamamoto
• Katılım Endeksi
• İslami Finans
• BIST 100

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