Research Article
SERMAYE PİYASALARINDA İSLAMİ ENDEKSLER VE GELENEKSEL ENDEKSLER ARASINDAKİ İLİŞKİLER: KATILIM 30 ENDEKSİ VE BİST 100 ENDEKSİ
Abstract
Çalışmanın amacı sermaye
piyasalarında işlem gören İslami endekslerle ile geleneksel endeksler
arasındaki kısa ve uzun dönemli ilişkilerin varlığını araştırmaktır. Türkiye’de
İslami prensiplere uygun faaliyet gösteren 30 şirketin hisselerini temsil eden Katılım
30 Endeksi ile piyasanın genel durumu hakkında bilgi veren Bist 100 Endeksinin
logaritmik değerleri arasındaki ilişkiler 2013- 2018 yılları arasındaki iş günlerini kapsayacak şekilde E-Views 8
Programı’nda analiz edilmiştir. Analizlerde birim kök testi, eş bütünleşme testi
ve nedensellik testi uygulanarak hata düzeltme modeli vasıtasıyla sonuçlar
yorumlanmıştır. Çalışmanın sonucunda Katılım 30 Endeksi ile Bist 100 Endeksi
arasında kısa ve uzun dönemli ilişkiler tespit edilmiştir. Bulgulara göre kısa
dönemli nedensellik ilişkisi tek yönlü olup, Katılım 30 Endeksinden Bist 100
Endeksine doğrudur. Çalışma Türk İslami sermaye piyasasının incelenmesi ve bulguların
küresel piyasalardaki bulgularla kıyaslanması açısından önem taşımaktadır.
References
- ALBAITY, Mohamed and Rubi AHMAD (2008), “Performance of Syariah And Composite Indices: Evidence From Bursa Malaysia”, Asian Academy of Management Journal of Accounting and Finance, 4(1); 23-43.
- ALTIN, Hakan, Nihan CABA (2016), “Borsa İstanbul’da İşlem Gören Katılım Endekslerinin Performanslarının Değerlendirilmesi”, Finansal Araştırmalar ve Çalışmalar Dergisi, 8(15); 229-248.
- AL-KHAZALI, Osamah, Hooi Hooi LEAN, Anis SAMET (2014), “Do Islamic Stock Indexes Outperform Conventional Stock Indexes? A Stochastic Dominance Approach”, Pacific-Basin Finance Journal, 28(2014); 29-46.
- BEIK, Irfan Syauqi ve Wisnu WARDHANA (2011), “The Relationshıp Between Jakarta Islamic Index And Other Selected Markets: Evidence From Impulse Response Function”, Majalah Ekonomi, Tahun XXI, 2; 100-109.
- BROOKS, C., (2002), Introductory Econometrics for Finance. Cambridge University Press, Cambridge.
- DHARANI, M., P.NATARAJAN (2011), Equanimity of Risk and Return Relationship between Shariah Index and General Index in India, Journal of Economics and Behavioral Studies, 2(5); 213-222.
- EL-KHAMLICHI, Abdelbari, Morocco Kabir SARKAR, Mohamed AROURI ve Frédéric TEULON (2014), “Are Islamic Equity Indices More Efficient Than Their Conventional Counterparts? Evidence From Major Global Index Families”, The Journal of Applied Business Research, 30(4); 1137-1150.
- GUJARATI, D. N. (2005), Temel Ekonometri, Çev.: Şenesen, Ü. ve Şenesen, G. G., 3. bs., Literatür Yayıncılık, İstanbul.
- GUYOT, Alexis (2011), “Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes”, Emerging Markets Finance & Trade, November-December, 47(6); 24-45.
- HAMMOUDEH, Shawkat, Won Joong KIM ve Soodabeh SARAFRAZI (2016), “Sources of Fluctuations in Islamic, U.S., EU, and Asia Equity Markets: The Roles of Economic Uncertainty, Interest Rates, and Stock Indexes”, Emerging Markets Finance & Trade, 52; 1195–1209.
- HASSAN, M. Kabir ve Eric GIRARD (2010), “Faith-Based Ethical Investing: The Case Of Dow Jones Islamic Indexes”, Islamic Economic Studies, 17(2); 1-31.
- HO, Catherine Soke Fun, Nurul Afigah Abd RAHMAN, Noor Hafizha Muhamad YUSUF, Zaminor ZAMZAMIN (2014), “Performance of global Islamic versus Conventional Share Indices: International Evindence”, Pasific -Basin Finance Journal, 28(2014); 110-121.
- HUSSEI, Khaled A. (2004), “Ethical Investment: Empirical Evidence From FTSE Islamic Index”, Islamic Economic Studies, 12(1); 21-40. Islamic Financial Services Board (2017), Islamic Financial Services Industry Stability Report 2017, Published by Bank Negara Malaysia, Kuala Lumpur.
- JAWADI, Fredj, Nabila JAWADI, Wael LOUHICHI (2014), “Conventional and Islamic Stock Price Performance: An Empirical Investigation”, International Economics, 137(2014); 73-87.
- Katılım Endeksi (2018), Endeksler, Katılım 30, İnternet Adresi http://www.katilimendeksi.org/subpage/16/endeks_bilgileri, Erişim Tarihi 18.06.2018. MINIAOUI, Hela, Hameedah SYANI, Anissa CHAIBI (2015), “The Impact of financial crisis on Islamic and conventional indices of the GCC countries”, The Journal of Applied Business Research, 31(2); 357-370.
- RANA, Muhammad Ejaz ve Waheed AKHTER (2015), “Performance of Islamic and Conventional Stock Indices: Empirical Evidence from an Emerging Economy”, Center of Islamic Finance, COMSATS Working Paper, Pakistan.
- SAKARYA, Şakir, Hasan Hüseyin YILDIRIM ve Mehmet YAVUZ (2017), “Kurumsal Yönetim Endeksi ve Katılım 30 Endeksi ile Bist 50 Endeksi’nin Performanslarının Değerlendirilmesi”, Uluslararası Sosyal Araştırmalar Kongresi (ISBN: 978-605-82729-0-3); 474-487.
- SAKTI, Muhammad Rizky Prima ve Yousuf HARUN (2013), “Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index”, Global Review of Islamic Economics and Business, 1(1); 71-84.
- SAVAŞAN, Fatih, Fatih YARDIMCIOĞLU, Furkan BEŞEL (2015), “The Effect of Exogenous Shocks on Participation Index of Borsa Istanbul: Permanent or Temporary?” Uluslararası İslam Ekonomisi ve Finansı Araştırmaları Dergisi, 1(1); 81-92.
- SEÇME, Oğuz, Mine AKSOY ve Özgür UYSAL (2016), “Katılım Endeksi Getiri, Performans ve Oynaklığın Karşılaştırmalı Analizi”, Muhasebe ve Finansman Dergisi, Ekim 2016; 107-128.
- SEVÜKTEKİN, M. ve NARGELEÇEKENLER, M. (2010), Ekonometrik Zaman Serileri Analizi, Geliştirilmiş 3. Baskı, Nobel Yayın Dağıtım, Ankara.
- Türkiye Katılım Bankaları Birliği (2018), Katılım Bankacılığı Nedir? Nasıl Çalışır?, İnternet Adresi http://www.tkbb.org.tr/, Erişim Tarihi 21.03.2018.
- YAZICI, Resül (2016), “Finansal Krizlerin Önlenmesinde Katılım Bankacılığı Sisteminin Rolü Üzerine Bir Değerlendirme”, Sakarya İktisat Dergisi, 5(1); 59-82.
The Relationship Between Islamic Indices and Conventional Indices in Capital Markets: Participation 30 Index and Bist 100 Index
Abstract
The aim of the study is to
investigate the existence of short term and long term relationships between Islamic
indices and traditional indices in capital markets. The relationship between logarithmic
values of Participation 30 Index and Bist 100 Index has been analyzed through E-Views
8 Program for the working days of the years of 2013- 2018. While Participation
30 Index represents the shares of 30 companies operating in accordance with Islamic
principles, Bist 100 Index informs about the general situation of the market in
Turkey. Unit root test, cointegration test and causality test were applied in
the study and the results were interpreted with the error correction model. As
a result of the study, both short-term and long-term relationships were
determined between the Participation 30 Index and Bist 100 Index. According to
findings, there is a one way causality relation and this relation’s direction
is from the Participation 30 Index to Bist 100 Index. The study is important in
terms of examining the Turkish Islamic capital market and comparing the results
with global markets.
References
- ALBAITY, Mohamed and Rubi AHMAD (2008), “Performance of Syariah And Composite Indices: Evidence From Bursa Malaysia”, Asian Academy of Management Journal of Accounting and Finance, 4(1); 23-43.
- ALTIN, Hakan, Nihan CABA (2016), “Borsa İstanbul’da İşlem Gören Katılım Endekslerinin Performanslarının Değerlendirilmesi”, Finansal Araştırmalar ve Çalışmalar Dergisi, 8(15); 229-248.
- AL-KHAZALI, Osamah, Hooi Hooi LEAN, Anis SAMET (2014), “Do Islamic Stock Indexes Outperform Conventional Stock Indexes? A Stochastic Dominance Approach”, Pacific-Basin Finance Journal, 28(2014); 29-46.
- BEIK, Irfan Syauqi ve Wisnu WARDHANA (2011), “The Relationshıp Between Jakarta Islamic Index And Other Selected Markets: Evidence From Impulse Response Function”, Majalah Ekonomi, Tahun XXI, 2; 100-109.
- BROOKS, C., (2002), Introductory Econometrics for Finance. Cambridge University Press, Cambridge.
- DHARANI, M., P.NATARAJAN (2011), Equanimity of Risk and Return Relationship between Shariah Index and General Index in India, Journal of Economics and Behavioral Studies, 2(5); 213-222.
- EL-KHAMLICHI, Abdelbari, Morocco Kabir SARKAR, Mohamed AROURI ve Frédéric TEULON (2014), “Are Islamic Equity Indices More Efficient Than Their Conventional Counterparts? Evidence From Major Global Index Families”, The Journal of Applied Business Research, 30(4); 1137-1150.
- GUJARATI, D. N. (2005), Temel Ekonometri, Çev.: Şenesen, Ü. ve Şenesen, G. G., 3. bs., Literatür Yayıncılık, İstanbul.
- GUYOT, Alexis (2011), “Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes”, Emerging Markets Finance & Trade, November-December, 47(6); 24-45.
- HAMMOUDEH, Shawkat, Won Joong KIM ve Soodabeh SARAFRAZI (2016), “Sources of Fluctuations in Islamic, U.S., EU, and Asia Equity Markets: The Roles of Economic Uncertainty, Interest Rates, and Stock Indexes”, Emerging Markets Finance & Trade, 52; 1195–1209.
- HASSAN, M. Kabir ve Eric GIRARD (2010), “Faith-Based Ethical Investing: The Case Of Dow Jones Islamic Indexes”, Islamic Economic Studies, 17(2); 1-31.
- HO, Catherine Soke Fun, Nurul Afigah Abd RAHMAN, Noor Hafizha Muhamad YUSUF, Zaminor ZAMZAMIN (2014), “Performance of global Islamic versus Conventional Share Indices: International Evindence”, Pasific -Basin Finance Journal, 28(2014); 110-121.
- HUSSEI, Khaled A. (2004), “Ethical Investment: Empirical Evidence From FTSE Islamic Index”, Islamic Economic Studies, 12(1); 21-40. Islamic Financial Services Board (2017), Islamic Financial Services Industry Stability Report 2017, Published by Bank Negara Malaysia, Kuala Lumpur.
- JAWADI, Fredj, Nabila JAWADI, Wael LOUHICHI (2014), “Conventional and Islamic Stock Price Performance: An Empirical Investigation”, International Economics, 137(2014); 73-87.
- Katılım Endeksi (2018), Endeksler, Katılım 30, İnternet Adresi http://www.katilimendeksi.org/subpage/16/endeks_bilgileri, Erişim Tarihi 18.06.2018. MINIAOUI, Hela, Hameedah SYANI, Anissa CHAIBI (2015), “The Impact of financial crisis on Islamic and conventional indices of the GCC countries”, The Journal of Applied Business Research, 31(2); 357-370.
- RANA, Muhammad Ejaz ve Waheed AKHTER (2015), “Performance of Islamic and Conventional Stock Indices: Empirical Evidence from an Emerging Economy”, Center of Islamic Finance, COMSATS Working Paper, Pakistan.
- SAKARYA, Şakir, Hasan Hüseyin YILDIRIM ve Mehmet YAVUZ (2017), “Kurumsal Yönetim Endeksi ve Katılım 30 Endeksi ile Bist 50 Endeksi’nin Performanslarının Değerlendirilmesi”, Uluslararası Sosyal Araştırmalar Kongresi (ISBN: 978-605-82729-0-3); 474-487.
- SAKTI, Muhammad Rizky Prima ve Yousuf HARUN (2013), “Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index”, Global Review of Islamic Economics and Business, 1(1); 71-84.
- SAVAŞAN, Fatih, Fatih YARDIMCIOĞLU, Furkan BEŞEL (2015), “The Effect of Exogenous Shocks on Participation Index of Borsa Istanbul: Permanent or Temporary?” Uluslararası İslam Ekonomisi ve Finansı Araştırmaları Dergisi, 1(1); 81-92.
- SEÇME, Oğuz, Mine AKSOY ve Özgür UYSAL (2016), “Katılım Endeksi Getiri, Performans ve Oynaklığın Karşılaştırmalı Analizi”, Muhasebe ve Finansman Dergisi, Ekim 2016; 107-128.
- SEVÜKTEKİN, M. ve NARGELEÇEKENLER, M. (2010), Ekonometrik Zaman Serileri Analizi, Geliştirilmiş 3. Baskı, Nobel Yayın Dağıtım, Ankara.
- Türkiye Katılım Bankaları Birliği (2018), Katılım Bankacılığı Nedir? Nasıl Çalışır?, İnternet Adresi http://www.tkbb.org.tr/, Erişim Tarihi 21.03.2018.
- YAZICI, Resül (2016), “Finansal Krizlerin Önlenmesinde Katılım Bankacılığı Sisteminin Rolü Üzerine Bir Değerlendirme”, Sakarya İktisat Dergisi, 5(1); 59-82.
There are 23 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | November 30, 2018 |
| Submission Date | June 29, 2018 |
| Published in Issue | Year 2018Volume: 19 Issue: 2 |
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