İslami Borsalarda Fiyat Hareketleri

Yıl 2019, Cilt: 8 Sayı: 2, 148 - 159, 12.06.2019

Mercan Hatipoğlu

Öz

Bu çalışmanın amacı gelişmiş ve gelişmekte olan
ülkelerin İslami finans kriterlerine uygun olarak belirlenen hisse
senetlerinden oluşan borsa endekslerinin fiyat hareketleri hakkında bilgi
edinmektir. Çalışmada veri olarak Mayıs 2002 ile Eylül 2018 dönemi arası aylık
veriler kullanılırken, yöntem olarak regresyon, varyans rasyo testi ve koşu
testinden yararlanılmıştır. Çalışmanın sonucunda, Endonezya İslami borsasının
beklenen getirisinin en yüksek olduğu, en riskli İslami endeksin ise Türkiye’de
faaliyet gösteren İslami şirketlerden oluştuğu tespit edilmiştir.
Yatırımcıların piyasa zamanlama yeteneği açısından ise İngiltere ve Endonezya
İslami endekslerine yatırım yapanların piyasayı öngörmede başarılı olamadıkları
tespit edilmiştir.

Anahtar Kelimeler

İslami Borsa Endeksleri, Piyasa Etkinliği, Fiyat Hareketleri

PRICE MOVEMENTS IN ISLAMIC STOCK EXCHANGES ABSTRACT

Öz

The purpose of the study is to obtain information
about the price movements of stock indices which are composed of stocks determined
in accordance with Islamic finance criteria of developed and developing
countries. We use monthly data between May 2002 and September 2018 and also
utilesed from regression analysis, variance ratio test and running test. In
conclusion, we obtain that the expected return of Indonesian Islamic stock
exchange is the highest and it was determined that the most risky Islamic index
is composed of Islamic companies operating in Turkey. In terms of market timing capability of investors, it
was determined that those who invested in the UK and Indonesia Islamic indices
were not successful in predicting the market.

Anahtar Kelimeler

Islamic Stock İndices, Market Efficiency, Price Movements

Kaynakça

• ABBES, M. B. (2012). Risk and return of Islamic and conventional indices. International Journal of Euro-Mediterranean Studies, 5(1), 1-23.AL-KHAZALİ, O. M., LEDUC, G., ve ALSAYED, M. S. (2016). A market efficiency comparison of Islamic and non-Islamic stock indices. Emerging Markets Finance and Trade, 52(7), 1587-1605.
• AL-KHAZALİ, O., LEAN, H. H., ve SAMET, A. (2014). Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach. Pacific-Basin Finance Journal, 28, 29-46.
• ASHRAF, D. (2013). Performance evaluation of Islamic mutual funds relative to conventional funds: Empirical evidence from Saudi Arabia. International Journal of Islamic and Middle Eastern Finance and Management, 6(2), 105-121.
• BAHLOUL, S., MROUA, M., ve NAİFAR, N. (2017). Further evidence on international Islamic and conventional portfolios diversification under regime switching. Applied Economics, 49(39), 3959-3978.
• BEKAERT, G. and HARVEY, C.R. (2002). Research in emerging markets finance: looking to the future, Emerging Markets Review, 429–48.
• CAMGÖZ, M. (2018). İslami Endekslerin Çeşitlendirme Düzeyi Üzerine Bir İnceleme. Efil Ekonomi Araştırmaları Dergisi, 1(2), 132-151.
• CELİK, T. T., ve TAŞ, O. (2009). Etkin piyasa hipotezi ve gelişmekte olan hisse senedi piyasaları. itüdergisi/b, 4(2).
• EL-DİN, S. E. D. T., ve HASSAN, M. K. (2007). Islam and speculation in the stock exchange. Handbook of Islamic banking .241-255
• HAYAT, R., ve KRAEUSSL, R. (2011). Risk and return characteristics of Islamic equity funds. Emerging Markets Review, 12(2), 189-203.
• JAWADİ, F., JAWADİ, N., ve CHEFFOU, A. I. (2015). Are Islamic stock markets efficient? A time-series analysis. Applied Economics, 47(16), 1686-1697.
• KİM, J. H., SHAMSUDDİN, A., ve LİM, K. P. (2011). Stock return predictability and the adaptive markets hypothesis: Evidence from century-long US data. Journal of Empirical Finance, 18(5), 868-879.
• LEAN, H. H., ve PARSVA, P. (2012). Performance of Islamic indices in Malaysia FTSE market: Empirical evidence from CAPM. Journal of applied Sciences, 12(12), 1274-1281.
• NAFEES, B., QAMAR, M. A. J., ve AHMED, N. (2018). Lucratıveness Of Islamıc Vs Conventıonal Mutual Funds In Pakıstan. Pakistan Business Review, 19(4), 861-876.
• NARAYAN, P. K., PHAN, D. H. B., NARAYAN, S., ve BANNİGİDADMATH, D. (2017). Is there a financial news risk premium in Islamic stocks?. Pacific-Basin Finance Journal, 42, 158-170.
• NARAYAN, P. K., PHAN, D. H. B., SHARMA, S. S., ve WESTERLUND, J. (2016). Are Islamic stock returns predictable? A global perspective. Pacific-Basin Finance Journal, 40, 210-223.
• ODABAŞL, A., ASKU, C., ve AKGİRAY, V. (2004). The statistical evolution of prices on the Istanbul stock exchange. The European Journal of Finance, 10(6), 510-525.
• REBOREDO J.ve NAİFAR N. (2017) Do Islamic Bond (Sukuk) PricesReflect Financial and Policy Uncertainty? A Quantile Regression Approach, Emerging Markets Finance and Trade, 53:7, 1535-1546,
• SANCETTA, A., ve SATCHELL, S. E. (2005). New test statistics for market timing with applications to emerging markets hedge funds. The European Journal of Finance, 11(5), 419-443.
• TRİCHİLLİ, Y., ABDELHÉDİ, M., ve BOUJELBÈNE ABBES, M. (2018). Googling Investor’s Sentiment: Powerful Measure in Conventional and Islamic MENA Financial Markets. International Economic Journal, 1-16.
• UYSAL, M., ve EMİR, M. (2018). Uluslararası Çeşitlendirmenin Portföy Performansına Etkisi: Geleneksel Ve İslami Hisse Senedi Piyasaları İçin Ampirik Bir Uygulama. International Journal of Economic ve Administrative Studies, (21).
• WALKSHÄUSL, C., ve LOBE, S. (2012). Islamic investing. Review of Financial Economics, 21(2), 53-62.