Examination of the impacts of the immediate interest rate of the United States and the VIX on the Dow Jones Islamic Market Index

Özçelebi, Oğuzhan; Pérez-Montiel, Jose

doi:10.1111/boer.12399

Cited by 4 publications

(2 citation statements)

References 57 publications

(148 reference statements)

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“…There are many studies exists on the link between VIX and conventional stock market return (Hatipoğlu & Tekin 2017;Mensi et al 2014;Chandra & Thenmozhi 2015;Cheuathonghua et al 2019), but only a few studies have dealt with the link between VIX and Islamic stock market return (Naifar 2016;Hammoudeh et al 2014;Kumar & Sahu 2017;Karim and Naeem 2022;Ozcelebi et al, 2023. Naifar (2016) investigates the dependence between DJIMI returns and international risk factors over the period from January 2003 to October 2014.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The conventional developing (Ertugrul & Ozturk, 2013;Musa Gün, 2018;Tokmakçıoğlu et al, 2018;Mensi et al, 2014;Mishra, 2016;Mensi et al, 2023;Bagchi and Paul, 2023;Bhargava et al, 2023) and developed (Aman, 2019;Benigno, 2016;Shahzad, 2018;Lou & Luo, 2017;Habibi &Lee, 2019;Zhang et al, 2023) markets are the subject of several investigations. However, studies on the Islamic stock market gets less attention than those on the conventional stock market (Aloui et al, 2015;Naifar, 2016Kumar & Sahu, 2017;Shahzad et al, 2017;Ozcelebi et al, 2023. This study builds on existing studies to explore whether country-based (exchange rate, CDS) and global financial factors (VIX, MSCI world index) influence Islamic stock returns of developing (BRIC) and developed (G7) markets.…”

Section: Introductionmentioning

confidence: 99%

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How Do Islamic Stock Markets React to Country-based and Global Financial Factors in BRIC and G7? Evidence from a Novel MMQR Approach

Sadat,

Görmüş,

Güven

2024

TUJISE

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The purpose of the study is to compare the effect of country-based and global financial factors on Islamic stock market returns of BRIC (developing) and G7 (developed) country groups covering data from March 26, 2015, to March 31, 2021, for BRIC countries and July 27, 2015, to March 31, 2021, for G7 countries. A newly developed method of moment quantile regression (MMQR) is used to detect the asymmetric effects on Islamic stock market return across bullish, bearish, and normal market conditions, which is essential to better analyzing the stock market return. The outcome demonstrates that exchange rates have a significantly positive effect on stock market returns while CDS has a significant negative impact on the stock market return in G7 countries in both bearish and normal markets. On the contrary, we observe that the link between CDS and Islamic stock returns is negative but statistically insignificant in the case of BRIC. Additionally, we consider the Morgan Stanley Capital International (MSCI) world index and the CBOE Volatility Index (VIX) as the global financial factors. We find that the estimated coefficients of the MSCI world index have significant and positive effects on the stock market return in the case of both BRIC and G7 countries at all quantile levels. VIX has a significant negative impact on the Islamic stock return of the G7 across all quantiles. On the other hand, it has significant negative impacts only in transition (Q6) and a bullish period in the case of BRIC. The outcomes of the research will assist portfolio risk managers, international investors, and policymakers in building diversified portfolios and making investment decisions throughout the market’s busts and booms.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

How Do Islamic Stock Markets React to Country-based and Global Financial Factors in BRIC and G7? Evidence from a Novel MMQR Approach

Sadat,

Görmüş,

Güven

2024

TUJISE

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Impact of Global Risk Factors on the Islamic Stock Market: New Evidence from Wavelet Analysis

Kazak,

Saiti,

Kılıç

et al. 2024

Comput Econ

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The emergence of Islamic finance as an alternative financial investment area and the increasing political and economic uncertainty around the world necessitated an examination of the relationship between these two factors. This study examines the impact of four important global uncertainty and risk indicators “Global Economic Policy Uncertainty-GEPU, Geopolitical Risk Index-GPR, World Uncertainty Index-WUI, and CBOE Volatility Index-VIX” on two important Islamic stock market indices (Dow Jones Islamic Market Index and Bist Participation 100) using wavelet coherence (WTC) and asymmetric Fourier TY analyzes Quarterly data for the period March 2011–June 2023 were used in the study. The results of the analysis show that economic instability indicators impact Islamic equity market indices (both in Turkey and the world). This effect is determined as VIX, GEPU, GPR, and WUI. In addition, the fact that the GPR and WUI indices, which have an impact on conventional markets, have truly little and only a partial impact on Islamic equity markets is an important finding. The results of this study make important contributions to the literature and provide important findings for investors and policy makers.

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Bond yield spreads and exchange market pressure in emerging countries

Ozcelebi,

Perez-Montiel,

Manera

2024

IJOEM

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PurposeMight the impact of the financial stress on exchange markets be asymmetric and exposed to regime changes? Departing from the existing literature, highlighting that the domestic and foreign financial stress in terms of money market have substantial effects on exchange market, this paper aims to investigate the impacts of the bond yield spreads of three emerging countries (Mexico, Russia, and South Korea) on their exchange market pressure indices using monthly observations for the period 2010:01–2019:12. Additionally, the paper analyses the impact of bond yield spread of the US on the exchange market pressure indices of the three mentioned emerging countries. The authors hypothesized whether the negative and positive changes in the bond yield spreads have varying effects on exchange market pressure indices.Design/methodology/approachTo address the research question, we measure the bond yield spread of the selected countries by using the interest rate spread between 10-year and 3-month treasury bills. At the same time, the exchange market pressure index is proxied by the index introduced by Desai et al. (2017). We base the empirical analysis on nonlinear vector autoregression (VAR) models and an asymmetric quantile-based approach.FindingsThe results of the impulse response functions indicate that increases/decreases in the bond yield spreads of Mexico, Russia and South Korea raise/lower their exchange market pressure, and the effects of shocks in the bond yield spreads of the US also lead to depreciation/appreciation pressures in the local currencies of the emerging countries. The quantile connectedness analysis, which allows for the role of regimes, reveals that the weights of the domestic and foreign bond yield spread in explaining variations of exchange market pressure indices are higher when exchange market pressure indices are not in a normal regime, indicating the role of extreme development conditions in the exchange market. The quantile regression model underlines that an increase in the domestic bond yield spread leads to a rise in its exchange market pressure index during all exchange market pressure periods in Mexico, and the relevant effects are valid during periods of high exchange market pressure in Russia. Our results also show that Russia differs from Mexico and South Korea in terms of the factors influencing the demand for domestic currency, and we have demonstrated the role of domestic macroeconomic and financial conditions in surpassing the effects of US financial stress. More specifically, the impacts of the domestic and foreign financial stress vary across regimes and are asymmetric.Originality/valueThis study enriches the literature on factors affecting the exchange market pressure of emerging countries. The results have significant economic implications for policymakers, indicating that the exchange market pressure index may trigger a financial crisis and economic recession.

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Examination of the impacts of the immediate interest rate of the United States and the VIX on the Dow Jones Islamic Market Index

Cited by 4 publications

References 57 publications

How Do Islamic Stock Markets React to Country-based and Global Financial Factors in BRIC and G7? Evidence from a Novel MMQR Approach

How Do Islamic Stock Markets React to Country-based and Global Financial Factors in BRIC and G7? Evidence from a Novel MMQR Approach

Impact of Global Risk Factors on the Islamic Stock Market: New Evidence from Wavelet Analysis

Bond yield spreads and exchange market pressure in emerging countries

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