COVID-19'UN İSLAMİ VE GELENEKSEL HİSSE SENEDİ ENDEKSLERİ ÜZERİNDEKİ ETKİSİ

Yıl 2023, , 27 - 55, 31.12.2023

Almabrok F Ahmid , Ensar Ağırman

https://doi.org/10.58686/marufiktisat.1322905

Öz

Bu araştırmanın amacı, Covid-19 döneminde İslami hisse senedi endekslerini kapsamlı bir şekilde incelemek ve bunları geleneksel hisse senedi endeksleriyle karşılaştırmaktır. Araştırmamız, Covid-19'un İslami ve geleneksel hisse senedi endekslerinin getirileri üzerinde nasıl etkili olduğunu analiz etmeyi amaçlamaktadır. Başka bir deyişle, araştırma, ARIMA-X ve EGARCH-X modellerini kullanarak COVID-19'un İslami ve geleneksel hisse senedi endekslerinin getirileri ve oynaklığı üzerindeki etkisini analiz etmeyi hedeflemektedir. Bu amaç doğrultusunda, finansal hisse senedi getirisini tahmin etmek için İslami ve geleneksel hisse senedi endeksleri kullanılmış ve her ülkenin günlük vaka sayısına ilişkin dummy değişkeni COVID-19'un etkisini tahmin etmek için kullanılmıştır.
Araştırma, Covid-19 krizinden önce ve sırasında İslami ve geleneksel hisse senedi endekslerinde belirsizlik ve oynaklık düzeylerini incelemektedir. Ayrıca, İslami hisse senedi piyasalarını diğerleriyle karşılaştırır ve salgının bu piyasalara etkisini analiz eder. Bulgular istatistiksel olarak anlamlı sonuçlar ortaya koymaktadır ve belirli endekslerin %10, %5 ve %1 düzeylerinde anlamlılık gösterdiğini göstermektedir.
Genel olarak bakıldığında, Nijerya endekslerinin diğerleri arasında en çok etkilendiği söylenebilir, ayrıca belirsizlikten en az etkilenen ülkeler Endonezya ve Malezya'dır ve genel olarak İslami endeksler daha iyi performans göstermiştir. Sonuç olarak, İslami hisse senedi endekslerinin COVID-19'dan diğerleri gibi etkilendiği söylenebilir.

Anahtar Kelimeler

İslami hisse senedi endeksleri, COVID-19, ARIMA-X modeli, EGARCH-X modeli.

Impact of COVID-19 on Islamic and conventional stock indexes

Öz

The objectives of this research are to study Islamic stock indexes during the time of Covid-19 extensively and compare it with conventional stock indexes. Our research aims to analyse how stock returns indexes of Islamic and conventional have been affected by COVID-19. So, in other word, the research objected to analyse the effect of COVID-19 on the returns and volatility of Islamic and conventional stocks indexes by using ARIMA-X and EGARCH-X models. In keeping with this objective, the Islamic and conventional stocks indexes were used to estimate the financial stock return, and the dummy variable as of number of everyday cases of each country was used to estimate the effect of COVID-19.
The research investigates the levels of uncertainty and volatility in Islamic and conventional stock indexes prior to and during the Covid-19 crisis. Additionally, it compares Islamic stock markets with others and analyses the impact of the pandemic on these markets. The findings reveal statistically significant results, with certain indexes demonstrating significance at levels of 10%, 5%, and 1%.
By overall looking we can say that Nigerian indexes were affected the most among others which include the Islamic and the conventional, moreover the least affected by the uncertainty was in Indonesia and Malaysia and the Islamic indexes in general were better. We can conclude that Islamic stock indexes were affected like others by the COVID-19.

Anahtar Kelimeler

Islamic stock indexes, COVID-19, ARIMA-X model, EGARCH-X model

Kaynakça

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