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Affecting a significant portion of the world economy, the commodity market is the world’s largest “nonfinancial” market. In addition to the other macroeconomic variables, commodity prices have a special importance for Islamic stock indices, which have improved in recent years because Islamic finance is a financial system based on the profit/loss sh...
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Purpose. The present paper aims to clarify the importance of exchange-traded funds (ETFs) as one of the creative Islamic financial products that have attracted the attention of investors in recent years. Results. This research concluded that: (i) Islamic ETFs are a useful and convenient option for Sharia-compliant investors who prefer this type of...
The Islamic finance industry has attracted increasing
research interest, particularly in Islamic equity markets, in both
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However, COVID-19 has caused a downturn in the Islamic stock
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Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly to positive/negative shocks. This problem justifies our...
The paper examines the shift in stock indices’ behavior in BRICS nations, prior to and following the outbreak of the COVID-19 pandemic, using daily data of relevant stock indices from April 2019 to March 2021. The study seeks to ascertain the influence of COVID-19 on stock markets of BRICS countries. The descriptive analysis and graphical presentat...
Portfolio managers and investors do international diversification to reduce risk and obtain stable returns. If the countries are found to co-move, then the benefits of diversification are lost. This study examines the relationship between the stock exchanges of India, Germany, the USA, Saudi Arabia and Japan using stock indices as representations o...
Citations
... Moreover, commodity prices have special importance on Islamic stock indices. In the backdrop of these two facts, the (Sakarya et al., 2018) paper explores longterm cointegration and causality relationship between commodity markets and the Participation-30 index established by taking Islamic criteria into account. The study is based on Turkey. ...
Islamic finance is a broad term applied to Shariah-compliant financial institutions and investments. Some of its unique features are its social responsibility, abhorrence of Riba (interest), and emphasis on morality (of areas under its ambit). It has been broadening its dominion since the late 1960s and is now a force to contend with. Yet Islamic finance represents unchartered territories with lots of potential for exploration.
The Granger causality test is a statistical hypothesis test for determining causality between variables. It is used to test data empirically to find patterns of correlation. The relation and causality between the indices of Islamic countries and Shariah indices of non-Islamic countries and conventional indices and economic factors in the context of different countries is an area of exciting possibilities. A better understanding of this causal relationship will aid in accurate forecasting and prediction which will be highly beneficial for investors looking to enlarge their portfolios.
The Islamic finance industry has attracted increasing
research interest, particularly in Islamic equity markets, in both
academia and the corporate world during the past few decades.
However, COVID-19 has caused a downturn in the Islamic stock
markets. This study empirically explores and compares the performance of the MSCI Indices of Malaysia and each of the other MSCI Islamic indices in Gulf Cooperation Council (GCC) countries. To address the research questions, time series techniques, namely, the unit root test, cointegration, long-Run Structural Model (LRSM), Vector Error Correction Model (VECM), variance decomposition, impulse response, and persistence profile techniques, were used as the main method by utilizing monthly data from August 15, 2011, to November 15, 2020. The results show that cointegration exists between the Malaysian Islamic indices and the six Islamic indices of GCC countries,
which indicates that diversification benefits are limited in the long run because the indices move together. Additional results show a significant causality among the indices in both the short-run and long-run. (as shown in the LRSM and VECM tests). The findings may have significant implications for portfolio diversification of Islamic indices among investors interested in Shariah-compliant securities in Malaysia and GCC countries, particularly in the COVID-19 era. Further research can be conducted for an in-depth analysis to examine the performance of these indices in terms of risk and return after the COVID-19 era using a more advanced technique.
Bu çalışmada Borsa İstanbul ile Katılım Endeksleri arasındaki getiri ve volatilite etkileşimi olup olmadığı araştırılmaktadır. Çalışmada BIST 100 ile Katılım 30, Katılım 50 ve Katılım Model Portföy Endeksleri ele alınmıştır. BIST 100 ile Katılım 30, Katılım 50 ve Katılım Model Portföy Endeks getirilerinin yatırımcılar için öngörü sağlayıp sağlamadığı tespit edilmeye çalışılmaktadır. Değişkenler arasındaki ilişkiyi ortaya koymak için11.07.2016 – 28.07.2021 dönemine ait günlük veriler ile çok değişkenli GARCH modellerinden VAR-EGARCH modelinden faydalanılmıştır. Yapılan analizler sonucunda Katılım 30 Endeksi ve Katılım 50 Endeksi ile BIST 100 Endeksi arasında çift yönlü getiri ve volatilite etkileşimi tespit edilmiştir. BIST 100’den Katılım Model Portföyüne doğru tek yönlü volatilite etkileşimi bulunmaktadır. Katılım 50, Katılım Model Portföy ve BIST 100 Endeksi piyasasında meydana gelen şokların asimetrik yapı sergilediği tespit edilmiştir. Katılım 50 Endeksi piyasasında negatif bilgi şokları, Katılım Model Portföy ve BIST 100 Endeksi piyasasında ise pozitif bilgi şokları daha etkindir. Katılım 30, 50 ve Model Portföy Endeksi ile BIST 100 Endeksi piyasasında meydana gelen dalgalanmaların etkisinin uzun süre hissedildiği tespit edilmiştir.
