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

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dc.authoridKAZAK, Hasan/0000-0003-0699-5371
dc.authoridULUYOL, BURHAN/0000-0002-9984-489X
dc.contributor.authorKazak, Hasan
dc.contributor.authorSaiti, Buerhan
dc.contributor.authorKilic, Cueneyt
dc.contributor.authorAkcan, Ahmet Tayfur
dc.contributor.authorKaratas, Ali Rauf
dc.date.accessioned2025-01-27T20:31:58Z
dc.date.available2025-01-27T20:31:58Z
dc.date.issued2024
dc.departmentÇanakkale Onsekiz Mart Üniversitesi
dc.description.abstractThe 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.
dc.description.sponsorshipScientific and Technological Research Council of Turkiye (TUBITAK)
dc.description.sponsorshipOpen access funding provided by the Scientific and Technological Research Council of Turkiye (TUBITAK).
dc.identifier.doi10.1007/s10614-024-10665-7
dc.identifier.issn0927-7099
dc.identifier.issn1572-9974
dc.identifier.scopus2-s2.0-85199543667
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1007/s10614-024-10665-7
dc.identifier.urihttps://hdl.handle.net/20.500.12428/23319
dc.identifier.wosWOS:001276014500001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherSpringer
dc.relation.ispartofComputational Economics
dc.relation.publicationcategoryinfo:eu-repo/semantics/openAccess
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WoS_20250125
dc.subjectIslamic equity index
dc.subjectStock markets
dc.subjectFear indexes
dc.subjectRisk indicators
dc.subjectWavelet
dc.titleImpact of Global Risk Factors on the Islamic Stock Market: New Evidence from Wavelet Analysis
dc.typeArticle

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