STRUCTURE OF THE VOLATILITY RELATIONSHIP BETWEEN ISLAMIC STOCK INDICES

Öz

Islamic stock indices are the indices consisted of the stocks of companies operating in areas that are allowed by Islamic rules. The principle aim of the investors investing in Islamic financial instruments is, quite similar to investors of traditional instruments, to obtain maximum return with the minimum risk. For this purpose, investors make analyses on assets and markets in their decision processes. One of these analyses is the determination of the structure of the volatility relationships. Volatility relationships may have constant or dynamic structure. This situation is one of the factor that should be considered in determining investment strategies. Dynamic correlation model test developed by Engle and Sheppard (2001) is one of the test that is used for determining the structure of the volatility relationships. In this context, in the study structure of the volatility relationships between the returns of Islamic stock indices of USA, India, UK, Japan, Kuwait, Malaysia, Sri Lanka and Turkey, for the period between 15.09.2018-06.06.2019, using Engle and Sheppard (2001) dynamic correlation model test. The results generally indicate the existence of a dynamic volatility relationships between the index returns.

Anahtar Kelimeler

• Islamic stock indices,Dynamic correlation model test,Financial economics,Risk management

İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI

Öz

İslami hisse senedi endeksleri, İslami kurallara uygun olarak belirlenen alanlarda faaliyet gösteren şirketler baz alınarak oluşturulan endekslerdir. İslami finansal araçlara yatırım yapan yatırımların temel amacı, geleneksel finansal araçlara yatırım yapan yatırımcılara benzer şekilde minimum risk ile maksimum getiriyi sağlamaktır. Bu amaçla yatırımcılar karar süreçlerinde varlıklara ve piyasalara ilişkin analizler yapmaktadır. Bu analizlerden biri de varlıklar arasındaki oynaklık ilişkilerinin yapısının belirlenmesidir. Oynaklık ilişkileri sabit veya dinamik yapıda olabilmektedir. Bu durum ise yatırım stratejilerinin belirlenmesinde dikkate alınması gereken bir faktördür. Oynaklık ilişkilerinin yapısının belirlenmesinde kullanılan testlerden biri Engle ve Sheppard (2001) tarafından geliştirilen dinamik korelasyon model testidir. Bu bağlamda çalışmada 15.09.2008 - 06.06.2019 tarihleri kapsamında ABD, Hindistan, İngiltere, Japonya, Kuveyt, Malezya, Sri Lanka ve Türkiye İslami hisse senedi endeks getirileri arasındaki oynaklık ilişki yapısı, Engle ve Sheppard (2001) dinamik korelasyon model testi ile sınanmıştır. Çalışma sonucunda, söz konusu endeks getirileri arasında genellikle dinamik oynaklık ilişkisi bulunduğu tespit edilmiştir.

Anahtar Kelimeler

• İslami hisse senedi endeksleri,Dinamik korelasyon model testi,Finansal ekonomi,Risk yönetimi

Kaynakça

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