THE RELATIONSHIP BETWEEN ISLAMIC INDICES AND COMMODITY MARKETS IN TURKEY: EVIDENCE FOURIERBASED APPROACHES

Affecting a significant portion of the world economy, the commodity market is the world's largest "nonfinancial" market. In addition to the other macroeconomic variables, commodity prices have a special importance for Islamic stock indices, which have improved in recent years because...

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Bibliographic Details
Published in:Ekonomski horizonti 2018-09, Vol.20 (3), p.235
Main Authors: Sakarya, Şakir, Zeren, Feyyaz, Akkuş, Hilmi Tunahan
Format: Article
Language:English
Subjects:
Capital markets
Causality
Cointegration analysis
Commodity markets
Commodity prices
Crude oil prices
Diversification
Fourier analysis
Global economy
Gold
Investments
Islamic financing
Macroeconomics
Profits
Securities markets
Stock exchanges
Volatility
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Summary:Affecting a significant portion of the world economy, the commodity market is the world's largest "nonfinancial" market. In addition to the other macroeconomic variables, commodity prices have a special importance for Islamic stock indices, which have improved in recent years because Islamic finance is a financial system based on the profit/loss sharing principle and supports the real sector's activities. In this study, cointegration and the causality relationship between commodity markets (the Gold ounce and Brent oil) and the Participation-30 Index established by taking Islamic criteria into account were investigated in Turkey. As a result of the analysis, no cointegration relation was found between the Participation-30 Index and the commodity markets. According to these results, an investor investing in gold or oil will, in addition to the Participation-30 Index, diversify its portfolio with this commodity investment and minimize its risk. The fact that there is no relation between the variables according to the causality results indicates that the Participation-30 Islamic Indices' structure is independent of commodity markets and conventional stock markets.
ISSN:1450-863X
2217-9232
DOI:10.5937/ekonhor1803243S