İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDA GETİRİ VE VOLATİLİTE YAYILIMI: GELİŞMİŞ VE GELİŞMEKTE OLAN PİYASALARDA ÇOK DEĞİŞKENLİ VAR-EGARCH UYGULAMASI

Yıl 2018, Cilt: 1 Sayı: 2, 89 - 100, 01.10.2018

İsmail Çelik , Arife Özdemir , Semra Demir

https://doi.org/10.32951/mufider.418295

Cited By: 9

Öz

Bu
çalışmanın amacı ABD ile Endonezya, Malezya ve Türkiye gibi gelişmekte olan
ülkelerdeki İslami hisse senedi endeksleri arasında olası getiri ve volatilite
yayılımlarını ortaya koymaktır. Çalışmanın ampirik uygulamasında çok değişkenli
VAR(4)-EGARCH(1,1) modeli kullanılmıştır. Çalışmada MSCI (Morgan Stanley
Capital International) tarafından hazırlanan İslami endekslere ait 14.06.2012
ve 14.06.2017 aralığındaki günlük verilerden yararlanılmıştır. Araştırma
sonuçlarına göre, geleneksel hisse senedi endeksleri üzerine yapılan
çalışmalara benzer şekilde İslami endeksler açısından da gelişmiş ülkeler ile
gelişmekte olan ülkeler arasında asimetrik ve çok yönlü bir getiri ve
volatilite yayılımı olduğu tespit edilmiştir. Türkiye İslami endeksine doğru
gelişmekte olan piyasalardan herhangi bir getiri yayılımına rastlanmadığı ve
gelişmekte olan piyasalar arasında en az volatilite kalıcılığına sahip ülkenin
Türkiye olduğu ayrıca ortaya konulmuştur.

Anahtar Kelimeler

İslami Hisse Senedi Endeksi

Return and Volatility Spillover Between Islamic Stock Indices: An Application of Multivarite VAR-EGARCH on Developed and Emerging Markets

Öz

The
aim of this paper is to demonstrate expected returns and
volatility spillovers between the US and Islamic stock indices in emerging
markets such as Indonesia, Malaysia and Turkey. The multivariate VAR (4)
-EGARCH (1,1) model was used in the empirical application of the paper. The daily
data of the Islamic indices prepared by MSCI (Morgan Stanley Capital
International) from 14.06.2012 to 14.06.2017 were utilized in the study.  Result of the study revealed that similar to the
results of studies on conventional stock indices, asymmetric and
multi-directional returns and volatility spillovers have been detected between
developed and emerging countries based on Islamic indices. It was also found that there
is no return spread from the emerging markets towards the Turkish Islamic index.
In addition to Turkey is the country with the least volatility persistence
among the emerging markets

Anahtar Kelimeler

Islamic Stock Index

Kaynakça

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