Katılım 30 Endeksi’nin Dow Jones İslami Piyasalar Endeksi ve CBOE Volatilite Endeksi ile etkileşiminin analizi

Bu çalışma, Dow Jones İslami Piyasalar Dünya Endeksi (DJIM), Katılım 30 Endeksi (KATLM 30) ve CBOE Oynaklık Endeksi'ni (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 30'un küresel risklerden daha az etkilendiğini, küresel finansal sisteme daha az entegrasyon sergilediğini ve uluslararası yatırım portföyleri için DJIM'den 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.

Anahtar Kelimeler:

DJIMI, VIX, Islamic Index, Volatility, DCC-GARCH

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

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.

Keywords:

DJIMI, VIX, Islamic Index, Volatility, DCC-GARCH,

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