VOLATILITY SPILLOVER BETWEEN CONVENTIONAL STOCK INDEX AND PARTICIPATION INDEX: THE TURKISH CASE
Küçük Resim Yok
Tarih
2020
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Dergi ISSN
Cilt Başlığı
Yayıncı
Emerald Group Publishing Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Introduction - The rapid flow of information between the markets eliminates the possibility of diversifying the portfolio by bringing the markets closer, and may cause the volatility in a market to spread to another market. In this context, revealing the relationships between conventional and participation markets or financial assets is important in terms of portfolio diversification and risk management. Purpose - The major aim of this work is to analyse the existence of volatility spillover between conventional stock index and participation index based on the indexes in Turkish Capital Markets. BIST-30 and Katilim-30 indexes are used as the representatives of conventional stock index and participation index, respectively. Methodology - Firstly, the univariate HYGARCH (1,d,1) parameters are calculated, and secondly, the dynamic equicorrelation (DECO) methodology is applied. DECO model is proposed to simplify structural assumptions by introducing a structure in which all twosomes of returns take the same correlation for a given time period. In this way, DECO model enables to have an optimal portfolio selection in comparison to an unrestricted time varying-dynamic correlation approaches and gives more advanced forecasting ability for the duration of the financial crisis periods compared to the various portfolios. Findings - There is a strong correlation between BIST-30 and Katilim-30. They are affected by the same shocks. We expect to see different investor behaviours for Katilim-30 and BIST-30. However, they seem to have almost the same investor profile. In addition, there is a causality in both ways and volatility spillover between them.
Açıklama
Anahtar Kelimeler
Participation index, volatility spillover, Dynamic Equicorrelation (DECO) model, HYGARCH model, Non-linear causality, Islamic stock index, Sharia-compliant equity, Islamic finance, conventional stock index, Conditional Heteroscedasticity, Time-Series, Markets, Transmission, Variance, Models, Return
