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DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL

Year 2025, Volume: 12 Issue: 27, 399 - 428, 30.04.2025

Nehir Balcı

https://doi.org/10.58884/akademik-hassasiyetler.1590078

Abstract

Over the past two decades, Islamic finance has gained increasing prominence, with Islamic equities emerging as particularly attractive to investors. This study aims to investigate the volatility transmission between the Turkish Islamic stock market and selected global macroeconomic risk factors, specifically the US Dollar Index, the CBOE Gold Volatility Index, the CBOE Crude Oil Volatility Index, and the CBOE Volatility Index. We use the DCC-GARCH model with the daily data set from April 11, 2013, to April 25, 2024 to examine the dynamic connectiveness between the indexes. The results of the study show that there is a negative interaction between macroeconomic risk factors and the Turkish Islamic stock market. There is a volatility transmission from all macroeconomic risk factors to the Turkish Islamic stock market in the long-term investment period, but there is a volatility transmission only from the US dollar index to the Turkish Islamic stock market in the short-term investment period. Investors view the Turkish Islamic stock market as a safe haven, less susceptible to macroeconomic risk indicators, and less integrated with the international financial system in the short term. According to the findings of the DCC-GARCH model, investments in the Turkish-Islamic equity market should be viewed as riskier over the long term due to the transmission of volatility between selected macroeconomic risk factors and the Turkish-Islamic equity market. This study provides valuable insights for investors and portfolio managers seeking to enhance their portfolio management strategies.

Keywords

Islamic Finance Volatility Spillovers Turkish Islamic Stock Market Macroeconomic Indicators DCC-GARCH

References

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TÜRKİYE İSLAMİ HİSSE SENEDİ PİYASASI VE KÜRESEL MAKROEKONOMİK RİSK FAKTÖRLERİ ARASINDAKİ DİNAMİK İLİŞKİLER: DCC-GARCH MODELİNDEN KANITLAR

Year 2025, Volume: 12 Issue: 27, 399 - 428, 30.04.2025

Nehir Balcı

https://doi.org/10.58884/akademik-hassasiyetler.1590078

Abstract

Son yirmi yılda İslami finans, özellikle de geniş bir yatırım cazibesine sahip olan İslami hisse senetleri giderek daha önemli hale gelmiştir. Bu çalışmanın amacı, Türk İslami Hisse Senedi Piyasası ile ABD Dolar Endeksi, CBOE Altın Oynaklık Endeksi, CBOE Ham Petrol Oynaklık Endeksi ve CBOE Oynaklık Endeksi gibi seçili küresel makroekonomik risk faktörleri arasındaki oynaklık aktarımını araştırmaktır. Değişkenler arasındaki dinamik ilişkiyi incelemek için 1 Mart 2013 ile 25 Nisan 2024 tarihleri arasındaki günlük veri seti ile DCC-GARCH modeli kullanılmıştır. Çalışmanın sonuçları, makroekonomik risk faktörleri ile Türk İslami hisse senedi piyasası arasında negatif bir etkileşim olduğunu göstermektedir. Uzun vadeli yatırım döneminde tüm makroekonomik risk faktörlerinden Türk İslami hisse senedi piyasasına bir volatilite aktarımı varken, kısa vadeli yatırım döneminde sadece ABD doları endeksinden Türk İslami hisse senedi piyasasına bir volatilite aktarımı vardır. Kısa vadede, Türk İslami hisse senedi piyasası yatırımcılar için güvenli bir liman olarak hizmet vermekte, küresel risklerden daha az etkilenmekte ve küresel finansal sistemle daha az entegrasyona sahiptir. DCC-GARCH modelinin sonuçları ayrıca, seçilen tüm makroekonomik risk faktörleri ile Türk-İslam hisse senedi piyasası arasında uzun vadede bir volatilite aktarımı olduğundan, Türk-İslam hisse senedi piyasasına yapılan yatırımların uzun vadeli yatırım döneminde daha riskli olarak değerlendirilmesi gerektiğini göstermektedir. Bu çalışma, portföy yönetimi stratejilerini geliştirmek isteyen portföy yöneticileri ve yatırımcılar için değerli bilgiler sunmaktadır.

Keywords

İslami Finans Volatilite Yayılımları Türkiye İslami Hisse Senedi Piyasası Makroekonomik Göstergeler DCC-GARCH

References

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  • Akçalı Y., B., Mollaahmetoğlu, E., & Altay, E. (2020). Borsa İstanbul ve küresel piyasa göstergeleri arasındaki volatilite etkileşiminin DCC-GARCH yöntemi ile analizi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 14(3), 597-614.
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  • Arfaoui, M., & Raggad, B. (2021). Do Dow Jones Islamic equity indices undergo speculative pressure? New insights from a nonlinear and asymmetric analysis. International Journal of Finance & Economics.
  • Aziz, T., Marwat, J., Mustafa, S., & Kumar, V. (2020). Impact of economic policy uncertainty and macroeconomic factors on stock market volatility: Evidence from Islamic indices. The Journal of Asian Finance, Economics and Business, 7(12), 683-692
  • Bayram, K., & Othman, A. H. A. (2019). Islamic versus conventional stock market indicates performance: Empirical evidence from Turkey. Iqtishadia: Jurnal Kajian Ekonomi dan Bisnis Islam, 12(1), 74-86. http://dx.doi.org/10.21043/iqtishadia.v12i1.4631
  • Bahloul, S., Mroua, M., & Naifar, N. (2017). The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching. Borsa Istanbul Review, 17(1), 62-74. http://dx.doi.org/10.1016/j.bir.2016.09.003
  • Belanes, A., Saâdaoui, F., & Abedin, M. Z. (2024). Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes. Research in International Business and Finance, 67. https://doi.org/10.1016/j.ribaf.2023.102098
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  • Caporin, M., & McAleer, M. (2013). Ten things you should know about the dynamic conditional correlation representation. Econometrics, 1(1), 115-126.
  • Chang, B. H., Sharif, A., Aman, A., Suki, N. M., Salman, A., & Khan, S. A. R. (2020). The asymmetric effects of oil price on sectoral Islamic stocks: new evidence from quantile-on-quantile regression approach. Resources Policy, 65, 101571.
  • Charfeddine, L., & Al Refai, H. (2019). Political tensions, stock market dependence and volatility spillover: Evidence from the recent intra-GCC crises. The North American Journal of Economics and Finance, 50,
  • Chiang, T. C., Jeon, B. N., & Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and Finance, 26(7), 1206-1228.v https://doi.org/10.1016/j.najef.2019.101032
  • Chkili, W. (2022). The links between gold, oil prices and Islamic stock markets in a regime switching environment. Eurasian Economic Review, 12(1), 169-186.
  • Cho, J. H., & Parhizgari, A. M. (2009). East Asian financial contagion under DCC-GARCH. International Journal of Banking and Finance, 6(1), 17-30.
  • Dania, A., & Malhotra, D. K. (2013). An empirical examination of the dynamic linkages of faith-based socially responsible investing. The Journal of Wealth Management, 16(1), 65.
  • Danila, N., Azizan, N. A., Suprihadi, E., & Bunyamin, B. (2021). Dynamic co-movement and volatility spillover effect between Sukuk and conventional bonds: A comparison study between ASEAN and GCC. Global Business Review. https://doi.org 10.1177/09721509211026203
  • Dewanti, L. A., Rusmita, S. A., & Abd Samad, K. (2022). Sensitivity Islamic stock return in Asia: The effect of exchange rate volatility. Jurnal Ekonomi & Bisnis Islam, 8(2).
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431.
  • Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Do, A. Powell, R., Yong, J. & Singh, A. (2019). Time-Varying Asymmetric Volatility Spillover between Global Markets and China’s A, B and H-Shares Using EGARCH and DCC-EGARCH models. The North American Journal of Economics and Finance, 54, 10196.
  • Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350. https://doi.org/10.1198/073500102288618487
  • Emeç, A. S. (2021). Türkiye’de katılım endeksi, altın fiyatları ve katılım fonları arasındaki ilişki. Journal of Pure Social Sciences, 2(2), 63-75.
  • Essayem, A., Görmüş, Ş., & Güven, M. (2022). Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. Trends in Business and Economics, 36(3). https://doi.org/258-267. 0.5152/TBE.2022.1018360
  • Erdoğan, S., Gedikli, A., & Çevik, E. İ. (2020). Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries. Borsa Istanbul Review, 20(4), 322-333. https://doi.org/10.1016/j.bir.2020.04.003
  • Gamba-Santamaria, S., Gomez-Gonzalez, J. E., Hurtado-Guarin, J. L., & Melo-Velandia, L. F. (2017). Stock market volatility spillovers: Evidence for Latin America. Finance Research Letters, 20, 207-216. http://dx.doi.org/10.1016/j.frl.2016.10.001
  • Gökgöz, H., & Kayahan, C. (2023). Analysis of the interaction of Participation 30 Index with Dow Jones Islamic Markets Index and CBOE Volatility Index. Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 25(2), 246-256.
  • Habib, M., & Islam, K. U. (2017). Impact of macroeconomic variables on Islamic stock market returns: Evidence from Nifty 50 Shariah Index. Journal of Commerce and Accounting Research, 6(1), 37.
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There are 64 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Tüm Sayı
Authors

Nehir Balcı 0000-0002-9317-7491

Publication Date April 30, 2025
Submission Date November 23, 2024
Acceptance Date April 29, 2025
Published in Issue Year 2025 Volume: 12 Issue: 27

Cite

APA Balcı, N. (2025). DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL. Akademik Hassasiyetler, 12(27), 399-428. https://doi.org/10.58884/akademik-hassasiyetler.1590078
AMA Balcı N. DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL. Akademik Hassasiyetler. April 2025;12(27):399-428. doi:10.58884/akademik-hassasiyetler.1590078
Chicago Balcı, Nehir. “DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL”. Akademik Hassasiyetler 12, no. 27 (April 2025): 399-428. https://doi.org/10.58884/akademik-hassasiyetler.1590078.
EndNote Balcı N (April 1, 2025) DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL. Akademik Hassasiyetler 12 27 399–428.
IEEE N. Balcı, “DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL”, Akademik Hassasiyetler, vol. 12, no. 27, pp. 399–428, 2025, doi: 10.58884/akademik-hassasiyetler.1590078.
ISNAD Balcı, Nehir. “DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL”. Akademik Hassasiyetler 12/27 (April 2025), 399-428. https://doi.org/10.58884/akademik-hassasiyetler.1590078.
JAMA Balcı N. DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL. Akademik Hassasiyetler. 2025;12:399–428.
MLA Balcı, Nehir. “DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL”. Akademik Hassasiyetler, vol. 12, no. 27, 2025, pp. 399-28, doi:10.58884/akademik-hassasiyetler.1590078.
Vancouver Balcı N. DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL. Akademik Hassasiyetler. 2025;12(27):399-428.
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