Publication: The Determınants of stock market performance: comparatıve analysıs of the ıslamıc stock market and conventıonal stock market
Abstract
Son yıllarda, İslami hisse senedi piyasaları, dünya hisse senedi piyasalarıarasında önemli bir yere sahip olmuştur. Günümüzde ise, bu piyasalar uluslararasıfinans sisteminin ayrılmaz bir parçası hâline gelmiştir. İslami senedi piyasalarınınyükselişe geçişi ve ahlaki prensipleri, Müslüman ve gayrimüslim ülkelerdeki farklıyatırımcıların ilgisini çekmektedir.Bu çalışma, İslami ve konvansiyonel senedi piyasalarının farklılıkları; getirilerinbelirleyicileri, birlikte hareket ilişkisi ve piyasa performansı gibi farklı alanları gözönünde bulundurarak ortaya koymayı amaçlamaktadır. Çalışmada buna ek olarak, subprimekrizinin İslami ve konvansiyonel piyasadaki etkileri de incelenmiştir.Araştırmanın örneklemi; USA, UK, Kanada, Japonya ve Endonezya olmak üzere5 ülkenin konvansiyonel ve İslami piyasa endekslerinden alınan 10 endekstenoluşmaktadır. Çalışmada 2000 ve 2014 yılları arasındaki dönem baz alınmıştır. Sharpeoranı analizine göre bütün süreç boyunca, kriz öncesindeki süreçte de olduğu gibi,Endonezya hariç olmak üzere diğer ülkelerde konvansiyonel endeksler İslamiendekslerden daha iyi performans göstermiştir. Kriz sürecinde ise İslami endekslerin(Birleşik Krallık hariç olmak üzere) bütün ülkelerdeki performansı, konvansiyonelendekslerden daha iyi sonuç göstermiştir. Bununla birlikte, kriz sonrası dönemdekonvansiyonel endeksler, İslami endekslere göre daha iyi performans göstermiştir.Engle-Granger Koentegrasyon (Eş-bütünleme) Testi sonucuna göre, İslami vekonvansiyonel borsa arasında uzun vadede koentegrasyon bulunmamaktadır. Bununlabirlikte Granger nedensellik analizine göre, USA, UK ve Japonya’da İslami borsalaradoğru sadece tek yönlü nedensellik bulunmaktadır; bu da konvansiyonel borsaların kısavadede İslami borsaları etkiledikleri anlamına gelmektedir. Diğer taraftan Endonezya veKanada’da, İslami ve konvansiyonel borsaların kısa vadede birbirini dengelediği birGranger nedenselliği mevcuttur. Piyasa performansının belirleyicilerinin analizsonuçlarına göre, İslami ve konvansiyonel borsa endekslerini etkileyen faktörlerarasında istatistiksel farklılıklar bulunmamaktadır. Adımsal regresyon analizine göreise, borsa performansının ana belirleyicileri döviz kuru, Gayrisafi Yurtiçi Hasıla vepetrol fiyatlarıdır.
For the last few decades, Islamic stock markets have become a vital part of theinternational stock markets; it has evolved to become an integral part of theinternational financial system. The increasing growth of the Islamic stock market and itsethical principles has attracted different investors from both Muslim and non-Muslimcountries.This study highlights the comparison between the performance of Islamic andconventional stock markets from several aspects including the determinants of stockmarket performance, co-movement relationship and market performance. Sample casestudyused in this research is comprised of 10 indices from both the conventional andIslamic stock market indices of 5 different countries, namely; the USA, UK, Canada,Japan, and Indonesia, and which covers covered the periods between 2000 and 2014.Sharpe ratio is one of the analysis tools use in this research study and itindicated that during the entire case-study period, as well as the pre-crisis period, theconventional indices outperformed the Islamic counterparts in the five countries exceptin Indonesia. However, during the crisis period, the performance of Islamic indices inall countries, except in the UK, was better than their conventional counterparts.Consequentially, in the post-crisis period, the conventional indices outperformed theIslamic counterparts.Another important analysis tool used in the research study is the Engle-Granger Co-integration test which shows that there is no co-integration between Islamicand conventional stock market indices in long-term; while, the Granger causalityanalysis points out that in the USA, UK, and Japan, there is only one-way Grangercausality towards the Islamic stock markets, which implies that the conventional stockmarkets affected the Islamic stock markets in short-term. Furthermore, it is seen thatthere is a Granger causality in Indonesia and Canada, which depicts that the Islamic andthe conventional stock markets equalized each other in short-term. The results analysisfor the determinants of market performance revealed that there are no significantstatistically differences between the factors affecting the Islamic and the conventionalstock market indices, and the analysis of stepwise regression shows that the maindeterminants of the stock market performance are exchange rate, GDP, and oil price.
For the last few decades, Islamic stock markets have become a vital part of theinternational stock markets; it has evolved to become an integral part of theinternational financial system. The increasing growth of the Islamic stock market and itsethical principles has attracted different investors from both Muslim and non-Muslimcountries.This study highlights the comparison between the performance of Islamic andconventional stock markets from several aspects including the determinants of stockmarket performance, co-movement relationship and market performance. Sample casestudyused in this research is comprised of 10 indices from both the conventional andIslamic stock market indices of 5 different countries, namely; the USA, UK, Canada,Japan, and Indonesia, and which covers covered the periods between 2000 and 2014.Sharpe ratio is one of the analysis tools use in this research study and itindicated that during the entire case-study period, as well as the pre-crisis period, theconventional indices outperformed the Islamic counterparts in the five countries exceptin Indonesia. However, during the crisis period, the performance of Islamic indices inall countries, except in the UK, was better than their conventional counterparts.Consequentially, in the post-crisis period, the conventional indices outperformed theIslamic counterparts.Another important analysis tool used in the research study is the Engle-Granger Co-integration test which shows that there is no co-integration between Islamicand conventional stock market indices in long-term; while, the Granger causalityanalysis points out that in the USA, UK, and Japan, there is only one-way Grangercausality towards the Islamic stock markets, which implies that the conventional stockmarkets affected the Islamic stock markets in short-term. Furthermore, it is seen thatthere is a Granger causality in Indonesia and Canada, which depicts that the Islamic andthe conventional stock markets equalized each other in short-term. The results analysisfor the determinants of market performance revealed that there are no significantstatistically differences between the factors affecting the Islamic and the conventionalstock market indices, and the analysis of stepwise regression shows that the maindeterminants of the stock market performance are exchange rate, GDP, and oil price.