İSLAMİ ENDEKSLERİN ÇEŞİTLENDİRME POTANSİYELİ: KOENTEGRASYON YAKLAŞIMI

Amaç: Bu çalışmanın temel amacı İslami endekslerin konvansiyonel yatırımcılar açısından ulusal çeşitlendirme fırsatı sunup sunmadığının ve riskten korunma amacıyla kullanılıp kullanılamayacağının ortaya konmasıdır. Veri seti Türkiye, Malezya, Amerika Birleşik Devletleri ve İngiltere örneğinde Dow Jones ve Morgan Stanley Capital International tarafından hesaplanan İslami ve konvansiyonel endekslerden oluşmaktadır. Yöntem: Ampirik uygulamada durağanlık sınaması için klasik birim kök testlerinden Genişletilmiş Dickey-Fuller ve Philips-Perrron testi benimsenmiştir. İslami endeksler ile konvansiyonel muadilleri arasında koentegrasyon ilişkisi olup olmadığı ise Engle-Granger ve Johansen koentegrasyon testleri kullanılarak ortaya konmuştur. Bulgular: Elde edilen ampirik bulgulara göre Dow Jones Türkiye İslami endeksi istisna olmak üzere Türkiye, Malezya, Amerika Birleşik Devletleri ve İngiltere örneğinde ele alınan İslami endeksler ile konvansiyonel muadilleri arasında koentegrasyon ilişkisinin varlığından bahsetmek mümkün değildir. Bu bulgular, İslami endekslerin konvansiyonel yatırımcılar açısından belirli ölçüde ulusal çeşitlendirme fırsatı sunduğunu ve riskten korunma amacıyla kullanılabileceğine işaret etmektedir.

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