slami ve Konvansiyonel Hisse Senedi Piyasaları Arasında Ortalama ve Varyansta Nedensellik İlişkisi: A.B.D., İngiltere, Malezya ve Türkiye Örneği

Year 2020, Volume: 11 Issue: 1, 23 - 40, 02.03.2020

Fatih Güçlü

Abstract

Bu araştırmanın amacı, Modern Portföy Teorisi çerçevesinde, İslami hisse senedi piyasalarının konvansiyonel hisse senedi piyasalarından finansal bulaşma bağlamında ne ölçüde farklılaştığının belirlenmesidir. Bu amaca yönelik olarak Türkiye, Malezya, A.B.D. ve İngiltere İslami hisse senedi endeksleri arasındaki ilişkiler Hong ortalamada ve varyansta nedensellik testi ile incelenerek hem İslami ve konvansiyonel hisse senedi piyasaları arasındaki hem de uluslararası İslami hisse senedi piyasaları arasındaki finansal bulaşma etkileri belirlenmeye çalışılmıştır. Analizi sonuçlarına göre Malezya hariç hiçbir ülkeye ait İslami hisse senedi piyasaları ile konvansiyonel hisse senedi piyasaları arasında hem ortalama getirilerde hem de varyanslarında bir nedensellik ilişkisine rastlanmamıştır. Bu sonuç, İslami hisse senedi piyasalarında yer alan hisse senetlerinin, konvansiyonel hisse senedi piyasalarında işlem gören hisse senetleri arasından seçildiği için bu iki piyasanın birlikte hareket etmesi gerektiğini öne süren görüşün geçerli olmadığını, İslami ve konvansiyonel hisse senedi piyasalarının ayrıştığını göstermektedir. Farklı ülkelerin İslami hisse senedi piyasaları arasındaki nedensellik analizi sonuçlarına bakıldığında ise gelişmiş ülkelerin İslami hisse senedi piyasaları ile gelişmekte olan ülkelerin İslami hisse senedi piyasalarının birlikte hareket ettiği görüşünün büyük ölçüde desteklendiği görülmektedir.

Keywords

İslami Hisse Senedi Piyasaları, Finansal Bulaşma, Varyansta Nedensellik

Causality in Mean and Variance between Islamic and Conventional Stock Markets: The Case of US, the UK, Malaysia, & Turkey

Abstract

The aim of this study is to determine the extent to which Islamic stock markets differ from conventional stock markets in the context of financial contagion within the framework of Modern Portfolio Theory. For this purpose, the relationship between the Islamic stock indices of Turkey, Malaysia, US, and the UK were examined by using causality in mean and variance test developed by Hong to determine the effects of financial contagion between the Islamic and conventional stock markets as well as the international Islamic stock markets. According to the results of the analysis, no causality relationship was found between the Islamic stock markets of any country except Malaysia and conventional stock markets in both mean returns and variances. This result shows that the views suggesting that Islamic and conventional stock markets should act together because the stocks in the Islamic stock markets are selected among the stocks traded in the conventional stock markets are not valid and the Islamic and conventional stock markets are decoupled. When the results of the causality analysis between the Islamic stock markets of different countries are analyzed, it is seen that the stock Islamic stock markets of developed countries and developing countries act together.

Keywords

Islamic Stock Markets, Financial Contagion, Causality in Variance

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