Analysis of the interaction of Participation 30 Index with Dow Jones Islamic Markets Index and CBOE Volatility Index

Cantürk Kayahan; Halilibrahim Gökgöz

Makale detayları

Analysis of the interaction of Participation 30 Index with Dow Jones Islamic Markets Index and CBOE Volatility Index

Yazarlar:

Cantürk Kayahan | Halilibrahim Gökgöz

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Finans | İşletme

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 2, pp.246-256

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001293150

pISSN:

1302-1966

Anahtar kelimeler:

Özet:

 This study aims to examine the dynamic relationship between Islamic markets and global financial risk factors using the Dow Jones Islamic Markets World Index DJIM, Participation 30 Index KATLM 30, and the CBOE Volatility Index VIX. The analysis applies the DCC-GARCH model to the daily return series from January 3, 2014, to December 31, 2021. The results reveal a negative interaction between VIX and the Islamic indices throughout the study period. Furthermore, the dynamic correlation coefficient between VIX and DJIM -0.755040 was higher than that between VIX and KATLM 30 -0.180328, while the dynamic correlation coefficient between KATLM 30 and DJIM 0.26989 was weak and positive. These findings suggest that KATLM 30 is less affected by global risks, exhibits less integration into the global financial system, and serves as a better diversifier for international investment portfolios than DJIM. This study provides valuable insights for investors and portfolio managers and contributes to enhancing portfolio management strategies.

 This study aims to examine the dynamic relationship between Islamic markets and global financial risk factors using the Dow Jones Islamic Markets World Index DJIM, Participation 30 Index KATLM 30, and the CBOE Volatility Index VIX. The analysis applies the DCC-GARCH model to the daily return series from January 3, 2014, to December 31, 2021. The results reveal a negative interaction between VIX and the Islamic indices throughout the study period. Furthermore, the dynamic correlation coefficient between VIX and DJIM -0.755040 was higher than that between VIX and KATLM 30 -0.180328, while the dynamic correlation coefficient between KATLM 30 and DJIM 0.26989 was weak and positive. These findings suggest that KATLM 30 is less affected by global risks, exhibits less integration into the global financial system, and serves as a better diversifier for international investment portfolios than DJIM. This study provides valuable insights for investors and portfolio managers and contributes to enhancing portfolio management strategies.

 This study aims to examine the dynamic relationship between Islamic markets and global financial risk factors using the Dow Jones Islamic Markets World Index DJIM, Participation 30 Index KATLM 30, and the CBOE Volatility Index VIX. The analysis applies the DCC-GARCH model to the daily return series from January 3, 2014, to December 31, 2021. The results reveal a negative interaction between VIX and the Islamic indices throughout the study period. Furthermore, the dynamic correlation coefficient between VIX and DJIM -0.755040 was higher than that between VIX and KATLM 30 -0.180328, while the dynamic correlation coefficient between KATLM 30 and DJIM 0.26989 was weak and positive. These findings suggest that KATLM 30 is less affected by global risks, exhibits less integration into the global financial system, and serves as a better diversifier for international investment portfolios than DJIM. This study provides valuable insights for investors and portfolio managers and contributes to enhancing portfolio management strategies.

 Bu çalışma, Dow Jones İslami Piyasalar Dünya Endeksi DJIM, Katılım 30 Endeksi KATLM 30 ve CBOE Oynaklık Endeksini VIX kullanarak İslami piyasalar ile küresel finansal risk faktörleri arasındaki dinamik ilişkiyi incelemeyi amaçlamaktadır. Analiz, DCC-GARCH modelini 3 Ocak 2014 - 31 Aralık 2021 günlük getiri serisine uyguluyor. Sonuçlar, çalışma dönemi boyunca VIX ile İslami endeksler arasında negatif bir etkileşim olduğunu ortaya koyuyor. Ayrıca VIX ile DJIM arasındaki dinamik korelasyon katsayısı -0,755040, VIX ile KATLM 30 arasındakinden -0,180328 daha yüksek, KATLM 30 ile DJIM arasındaki dinamik korelasyon katsayısı 0,26989 ise zayıf ve pozitiftir. Bu bulgular, KATLM 30un küresel risklerden daha az etkilendiğini, küresel finansal sisteme daha az entegrasyon sergilediğini ve uluslararası yatırım portföyleri için DJIMden daha iyi bir çeşitlendirici olarak hizmet ettiğini göstermektedir. Bu çalışma, yatırımcılar ve portföy yöneticileri için değerli bilgiler sağlamakta ve portföy yönetimi stratejilerinin geliştirilmesine katkıda bulunmaktadır.

Makale detayları

Analysis of the interaction of Participation 30 Index with Dow Jones Islamic Markets Index and CBOE Volatility Index

Yazarlar:

Cantürk Kayahan | Halilibrahim Gökgöz

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Finans | İşletme

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 2, pp.246-256

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001293150

pISSN:

1302-1966

DJIMI

VIX

Islamic Index

Volatility

DCC-GARCHDJIMI

VIX

Islamic Index

Volatility

DCC-GARCH

Sayı

Makale detayları

Yazarlar: Cantürk Kayahan | Halilibrahim Gökgöz

Yayıncı: Afyon Kocatepe University

Ana Başlıklar: Finans | İşletme

Dergi: Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 2, pp.246-256

Belge Tipi: Makale

Yayın Tarihi: 1/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001293150

pISSN: 1302-1966

Sayı

Yazarlar:

Cantürk Kayahan | Halilibrahim Gökgöz

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Finans | İşletme

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 2, pp.246-256

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001293150

pISSN:

1302-1966