Islamic Versus Conventional Stock Market Indices Performance: Empirical Evidence from Turkey

Kamola Bayram, Anwar Hasan Abdullah Othman
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引用次数: 6

Abstract

Rapid growth of Islamic finance in general and Sharī`ah compliant stocks in particular arises the question whether Islamic funds/stocks have a better performance or there is no significant difference with the performance of conventional counterparts. This study has twofold objectives, firstly to compare the performance of Islamic and conventional stock market indices in Turkey, namely KATILIM50 and BIST 100 by using Two-Sample Test of Hypothesis over the period of 15 May 2015 to 31 December 2016.  Secondly, to examine the causal relationship between both stocks markets indices in the short-run using Granger (1969) Causality Test. The findings of parametric Z-test reveals that there is no statistical significant difference between the performance of both indices the KATILIM 50 index and BIST 100 index in Turkey Stock Exchange Market during the time frame of the study.  Further, the Granger Causality findings indicate the absence of causal relationship between the two stock markets indices in the short-run. This suggests that stock markets in Turkey are informationally efficient and non-violated with the Efficient Market Hypothesis with respect to the available information of both indices. The findings of this study therefore will provide useful channel for Muslim investors to fully participate in the Turkish capital market that is Sharī`ah complaint and fulfil their religious belief without sacrificing any financial performance.
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伊斯兰与传统股票市场指数的表现:来自土耳其的经验证据
伊斯兰金融的快速增长,特别是符合伊斯兰教法的股票,引发了这样一个问题:伊斯兰基金/股票是否有更好的表现,或者与传统基金/股票的表现没有显著差异。本研究有两个目标,首先,通过使用双样本假设检验,比较2015年5月15日至2016年12月31日期间土耳其伊斯兰和传统股票市场指数(即KATILIM50和BIST 100)的表现。其次,运用Granger(1969)因果关系检验两种股市指数在短期内的因果关系。参数z检验的结果显示,在研究的时间框架内,土耳其证券交易所市场的KATILIM 50指数和BIST 100指数的表现没有统计学上的显著差异。此外,格兰杰因果关系的发现表明,在短期内,两个股票市场指数之间不存在因果关系。这表明,就两个指数的可用信息而言,土耳其的股票市场在信息上是有效的,并且不违反有效市场假说。因此,本研究的结果将为穆斯林投资者在不牺牲任何财务业绩的情况下充分参与土耳其资本市场并实现其宗教信仰提供有用的渠道。
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来源期刊
自引率
0.00%
发文量
3
审稿时长
8 weeks
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