SEÇİLMİŞ BAZI RİSK FAKTÖRLERİNİN İSLAMİ BORSALAR ÜZERİNDEKİ ETKİLERİ

Bu çalışma İslami finans için finansal dalgalanmalara sebep olan risk faktörlerinin etkilerini incelemeyi amaçlamaktadır. Bu amaç doğrultusunda, çalışmada USD döviz kuru, Ekonomik ve Politik Belirsizlikler Endeksi ve Oynaklık Endeksi’nin (VIX) dünya İslam Borsa Endeksi’ne etkisi araştırılmaktadır. Aylık frekansta 2002:5 ile 2018:2 arasını kapsayan veriler, genişletilmiş genelleştirilmiş koşullu varyans (GARCH) modeli kullanılarak analiz edilmektedir. Çalışmanın bulguları dolar kurunun dünya İslam Borsası Endeksi’nin risk seviyesini anlamlı ve negatif olarak etkilediğine işaret etmektedir. Ayrıca bulgular İslam Borsası Endeksi’nin oynaklığının dolar kurundaki değişmelere ekonomik ve politik belirsizlikler endeksinden ve VIX endeksinden daha duyarlı olduğunu göstermektedir. Sonuç olarak Amerikan dolarının dünyada değer kazanması İslami borsaların volatilitesini azaltırken, dolardaki değer kaybı İslami borsalarda volatilitenin artmasına yol açtığı tespit edilmektedir. Bu sonuca göre İslami borsa endekslerine yatırım yapmayı düşünün yatırımcılar, doların değer kazanmasını öngördükleri zaman yatırım kararı verirler ise, portföy risklerini minizime etme imkanına sahip olabilirler. Bu bulgular, İslami borsalarda yatırım yapan yatırımcılar için risk faktörlerine karşı farklı riskten korunma stratejileri tasarlama açısından önemli sonuçlar içermektedir.

THE IMPACTS OF SOME SELECTED RISK FACTORS ON ISLAMIC STOCK MARKETS

This paper aims to examine the effects of risk factor which cause financial fluctuations for islamic finance. For this purpose, the study investigates the effect of the USD exchange rate, Economic Policy Uncertainty index and Volatility Index (VIX) on the world Islamic Stock Market Index. Data from 2002 to 2018 with monthly frequency is analyzed using the extended generalized conditional variance (GARCH) model. Findings of the study indicate that the dollar exchange rate significantly and negatively effects the risk level of the world Islamic Stock Index. In addition, the findings show that the volatility of the Islamic Stock Market Index is more sensitive to the changes in dollar exchange rate than the Economic and Political Uncertainty Index and the VIX index. As a result, the appreciation of the US dollar in the world reduces Islamic stock market volatility, while the depreciation of the dollar leads to an increase in volatility in Islamic stock markets. According to this result, investors who are considering to invest in Islamic stock market indexes may have the opportunity to minimize their portfolio risks if they decide to invest when they predict the appreciation of the dollar. These findings have important implications in designing different risk prevention strategies against risk factors for investors investing in Islamic stock markets.

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