Araştırma Makalesi
İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDA GETİRİ VE VOLATİLİTE YAYILIMI: GELİŞMİŞ VE GELİŞMEKTE OLAN PİYASALARDA ÇOK DEĞİŞKENLİ VAR-EGARCH UYGULAMASI
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
Kaynakça
- Abdul Rahim, F., Ahmad, N., & Ahmad, I. (2009). Information transmission between Islamic stock indices in South East Asia. International Journal of Islamic and Middle Eastern Finance and Management, 2(1), 7-19. Abu-Alkheil, A., Khan, W. A., Parikh, B., & Mohanty, S. K. (2017). Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence. The Quarterly Review of Economics and Finance, 66, 212-224. Acar, O. (2012). Volatilite Nedir? Çeşitleri Nelerdir?. http://www.okanacar.com/2012/08/volatilite-nedir-cesitleri-nelerdir.html Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., & Sarafrazi, S. (2014). How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests. Journal of International Financial Markets, Institutions and Money, 28, 213-227. Akhtar, S., Jahromi, M., John, K. & Moise, C.. (2011). Intensity of Volatility Linkages in Islamic and Conventional Markets. SSRN Electronic Journal, Paper ID.10169, 1-50. Ben Rejeb, A. (2016). Volatility Spillover between Islamic and conventional stock markets: evidence from Quantile Regression analysis. MPRA Paper No. 73302,1-44. Çürük, S. A. (2013). İslami finansın Türkiye'deki gelişimi, mevcut sorunlar ve çözüm önerileri (Doctoral dissertation, Selçuk Üniversitesi Sosyal Bilimler Enstitüsü). Alaoui, A. O., Dewandaru, G., Rosly, S. A., & Masih, M. (2015). Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index. Journal of International Financial Markets, Institutions and Money, 36, 53-70. Altaş, G. (2008). İslami Finans Sistemi. Sermaye Piyasasında Gündem, (69), 18-30. Andersson, O., & Haglund, E. (2015). Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR. Arshad, S., & Rizvi, S. A. R. (2013). The impact of global financial shocks to Islamic indices: speculative influence or fundamental changes?. Journal of Islamic Finance, 2(1). Abu Bakar, N., & Masih, A. M. M. (2014). The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis. Borsa terimleri sözlüğü, http://www.terimleri.com/borsa/sozluk.php?action=search&word=volatilite&submit2=++Terim+Bul Banumathy, K., & Azhagaiah, R. (2015). Modelling stock market volatility: Evidence from India. Managing Global Transitions, 13(1), 27. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. Brooks, C. (2008). Introductory econometrics for finance. Cambridge university press. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007. Hammoudeh, S., Mensi, W., Reboredo, J. C., & Nguyen, D. K. (2014). Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Pacific-Basin Finance Journal, 30, 189-206. Hkiri, B., Hammoudeh, S., Aloui, C., & Yarovaya, L. (2017). Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods. Pacific-Basin Finance Journal, 43, 124-150. Jebran, K., Chen, S., & Tauni, M. Z. (2017). Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan. Future Business Journal, 3(2), 98-106. Kilic, Y., & BUĞAN, M. F. (2016). Are Islamic Equity Markets “Safe Havens”? Testing the Contagion Effect using DCC-GARCH. International Journal of Academic Research in Accounting, Finance and Management Sciences, 6(4), 167-176. Koutmos, G., & Booth, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of international Money and Finance, 14(6), 747-762. Koutmos, G. (1996). Modeling the dynamic interdependence of major European stock markets. Journal of Business Finance & Accounting, 23(7), 975-988. Listyaningsih, E., & Krishnamurti, C. (2016). How is The Volatility of Jakarta Islamic Index Stocks?. Jurnal Bisnis dan Manajemen, 17(2), 109-122. Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452-470. Nazlioglu, S., Hammoudeh, S., & Gupta, R. (2015). Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test. Applied Economics, 47(46), 4996-5011. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370. Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific–Basin. Journal of international money and finance, 19(2), 207-233. Özden, Ü. H. (2008). İmkb bileşik 100 endeksi getiri volatilitesinin analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 7(13), 339-350. Saadaoui, A., & Boujelbene, Y. (2015). Volatility transmission between Dow Jones stock index and emerging Islamic stock index: case of subprime financial crises. Emerging Markets Journal, 5(1), 41. Shahzad, S. J. H., Ferrer, R., Ballester, L., & Umar, Z. (2017). Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis. International Review of Financial Analysis, 52, 9-26. Tanjung, H. (2014). Volatility of Jakarta islamic index. Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah, 6(2), 207-222. Tok, A. (2009). İslami Finans Sistemi Çerçevesinde Sukuk (İslami Tahvil) Uygulamaları. Katılım Bankaları ve Türkiye Açısından Değerlendirmeler, SPK Yeterlilik Etüdü, Ankara. Çil Yavuz, N. (2015). Finansal Ekonometri. Baskı, Der Yayınları, İstanbul.
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
Kaynakça
- Abdul Rahim, F., Ahmad, N., & Ahmad, I. (2009). Information transmission between Islamic stock indices in South East Asia. International Journal of Islamic and Middle Eastern Finance and Management, 2(1), 7-19. Abu-Alkheil, A., Khan, W. A., Parikh, B., & Mohanty, S. K. (2017). Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence. The Quarterly Review of Economics and Finance, 66, 212-224. Acar, O. (2012). Volatilite Nedir? Çeşitleri Nelerdir?. http://www.okanacar.com/2012/08/volatilite-nedir-cesitleri-nelerdir.html Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., & Sarafrazi, S. (2014). How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests. Journal of International Financial Markets, Institutions and Money, 28, 213-227. Akhtar, S., Jahromi, M., John, K. & Moise, C.. (2011). Intensity of Volatility Linkages in Islamic and Conventional Markets. SSRN Electronic Journal, Paper ID.10169, 1-50. Ben Rejeb, A. (2016). Volatility Spillover between Islamic and conventional stock markets: evidence from Quantile Regression analysis. MPRA Paper No. 73302,1-44. Çürük, S. A. (2013). İslami finansın Türkiye'deki gelişimi, mevcut sorunlar ve çözüm önerileri (Doctoral dissertation, Selçuk Üniversitesi Sosyal Bilimler Enstitüsü). Alaoui, A. O., Dewandaru, G., Rosly, S. A., & Masih, M. (2015). Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index. Journal of International Financial Markets, Institutions and Money, 36, 53-70. Altaş, G. (2008). İslami Finans Sistemi. Sermaye Piyasasında Gündem, (69), 18-30. Andersson, O., & Haglund, E. (2015). Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR. Arshad, S., & Rizvi, S. A. R. (2013). The impact of global financial shocks to Islamic indices: speculative influence or fundamental changes?. Journal of Islamic Finance, 2(1). Abu Bakar, N., & Masih, A. M. M. (2014). The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis. Borsa terimleri sözlüğü, http://www.terimleri.com/borsa/sozluk.php?action=search&word=volatilite&submit2=++Terim+Bul Banumathy, K., & Azhagaiah, R. (2015). Modelling stock market volatility: Evidence from India. Managing Global Transitions, 13(1), 27. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. Brooks, C. (2008). Introductory econometrics for finance. Cambridge university press. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007. Hammoudeh, S., Mensi, W., Reboredo, J. C., & Nguyen, D. K. (2014). Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Pacific-Basin Finance Journal, 30, 189-206. Hkiri, B., Hammoudeh, S., Aloui, C., & Yarovaya, L. (2017). Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods. Pacific-Basin Finance Journal, 43, 124-150. Jebran, K., Chen, S., & Tauni, M. Z. (2017). Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan. Future Business Journal, 3(2), 98-106. Kilic, Y., & BUĞAN, M. F. (2016). Are Islamic Equity Markets “Safe Havens”? Testing the Contagion Effect using DCC-GARCH. International Journal of Academic Research in Accounting, Finance and Management Sciences, 6(4), 167-176. Koutmos, G., & Booth, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of international Money and Finance, 14(6), 747-762. Koutmos, G. (1996). Modeling the dynamic interdependence of major European stock markets. Journal of Business Finance & Accounting, 23(7), 975-988. Listyaningsih, E., & Krishnamurti, C. (2016). How is The Volatility of Jakarta Islamic Index Stocks?. Jurnal Bisnis dan Manajemen, 17(2), 109-122. Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452-470. Nazlioglu, S., Hammoudeh, S., & Gupta, R. (2015). Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test. Applied Economics, 47(46), 4996-5011. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370. Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific–Basin. Journal of international money and finance, 19(2), 207-233. Özden, Ü. H. (2008). İmkb bileşik 100 endeksi getiri volatilitesinin analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 7(13), 339-350. Saadaoui, A., & Boujelbene, Y. (2015). Volatility transmission between Dow Jones stock index and emerging Islamic stock index: case of subprime financial crises. Emerging Markets Journal, 5(1), 41. Shahzad, S. J. H., Ferrer, R., Ballester, L., & Umar, Z. (2017). Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis. International Review of Financial Analysis, 52, 9-26. Tanjung, H. (2014). Volatility of Jakarta islamic index. Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah, 6(2), 207-222. Tok, A. (2009). İslami Finans Sistemi Çerçevesinde Sukuk (İslami Tahvil) Uygulamaları. Katılım Bankaları ve Türkiye Açısından Değerlendirmeler, SPK Yeterlilik Etüdü, Ankara. Çil Yavuz, N. (2015). Finansal Ekonometri. Baskı, Der Yayınları, İstanbul.
Toplam 1 adet kaynakça vardır.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | İşletme |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Ekim 2018 |
| Gönderilme Tarihi | 24 Nisan 2018 |
| Kabul Tarihi | 2 Temmuz 2018 |
| Yayımlandığı Sayı | Yıl 2018 Cilt: 1 Sayı: 2 |
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