TÜRKİYE İSLAMİ HİSSE SENEDİ PİYASASI VE KÜRESEL MAKROEKONOMİK RİSK FAKTÖRLERİ ARASINDAKİ DİNAMİK İLİŞKİLER: DCC-GARCH MODELİNDEN KANITLAR

Over the past two decades, Islamic finance has gained increasing prominence, with Islamic equities emerging as particularly attractive to investors. This study aims to investigate the volatility transmission between the Turkish Islamic stock market and selected global macroeconomic risk factors, specifically the US Dollar Index, the CBOE Gold Volatility Index, the CBOE Crude Oil Volatility Index, and the CBOE Volatility Index. We use the DCC-GARCH model with the daily data set from April 11, 2013, to April 25, 2024 to examine the dynamic connectiveness between the indexes. The results of the study show that there is a negative interaction between macroeconomic risk factors and the Turkish Islamic stock market. There is a volatility transmission from all macroeconomic risk factors to the Turkish Islamic stock market in the long-term investment period, but there is a volatility transmission only from the US dollar index to the Turkish Islamic stock market in the short-term investment period. Investors view the Turkish Islamic stock market as a safe haven, less susceptible to macroeconomic risk indicators, and less integrated with the international financial system in the short term. According to the findings of the DCC-GARCH model, investments in the Turkish-Islamic equity market should be viewed as riskier over the long term due to the transmission of volatility between selected macroeconomic risk factors and the Turkish-Islamic equity market. This study provides valuable insights for investors and portfolio managers seeking to enhance their portfolio management strategies.