STRUCTURE OF THE VOLATILITY RELATIONSHIP BETWEEN ISLAMIC STOCK INDICES

Year 2020, Volume: 18 Issue: 1, 108 - 121, 01.03.2020

Serap Kamışlı , Ethem Esen

https://doi.org/10.11611/yead.607940

Cited By: 3

Abstract

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.

Keywords

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

İSLAMİ HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ OYNAKLIK İLİŞKİ YAPISI

Abstract

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.

Keywords

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

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