The relation between return and volatility in ETFs traded in Borsa Istanbul : is there any difference between islamic and conventional ETFs ?

المؤلفون المشاركون

Kayhana, Selim
Bayatb, Tayfur
Hassan, Muhammad Kabir

المصدر

Islamic Economic Studies

العدد

المجلد 24، العدد 2 (31 ديسمبر/كانون الأول 2016)، ص ص. 45-76، 32ص.

الناشر

البنك الإسلامي للتنمية المعهد الإسلامي للبحوث و التدريب

تاريخ النشر

2016-12-31

دولة النشر

السعودية

عدد الصفحات

32

التخصصات الرئيسية

العلوم المالية والمصرفية
الدراسات الإسلامية

الموضوعات

الملخص EN

In this study, we aim to analyze the relation between return and volatility in different types of exchange-traded funds (ETFs) traded in the Borsa Istanbul.

The types we examine are Islamic stock index, conventional stock index, bond, commodity, and U.S.

dollar ETFs.

We employ the following battery of causality analysis methods that have different statistical advantages to each other: Toda-Yamamoto (1995); bootstrap based Hatemi-J (2005); volatility spillover, which allows investigating causality in variance; frequency domain, which decomposes causality due to different time frequencies; and asymmetric causality, developed by Hatemi-J, which enables finding causation linkages for different types of shocks in each variable.

Although the results obtained from our analyses show that a negative relationship between return and volatility is valid for most ETF types, an asymmetric relation running from negative return shocks to positive volatility shocks is valid for only some conventional stock ETFs and U.S.

dollar ETFs.

On the other hand, Islamic ETFs and commodity ETFs have an asymmetric relation running from positive return shocks to negative volatility shocks.

Our results show that the hypotheses investigated in this study vary with the ETF type included in the model.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Hassan, Muhammad Kabir& Kayhana, Selim& Bayatb, Tayfur. 2016. The relation between return and volatility in ETFs traded in Borsa Istanbul : is there any difference between islamic and conventional ETFs ?. Islamic Economic Studies،Vol. 24, no. 2, pp.45-76.
https://search.emarefa.net/detail/BIM-734263

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Hassan, Muhammad Kabir…[et al.]. The relation between return and volatility in ETFs traded in Borsa Istanbul : is there any difference between islamic and conventional ETFs ?. Islamic Economic Studies Vol. 24, no. 2 (Dec. 2016), pp.45-76.
https://search.emarefa.net/detail/BIM-734263

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Hassan, Muhammad Kabir& Kayhana, Selim& Bayatb, Tayfur. The relation between return and volatility in ETFs traded in Borsa Istanbul : is there any difference between islamic and conventional ETFs ?. Islamic Economic Studies. 2016. Vol. 24, no. 2, pp.45-76.
https://search.emarefa.net/detail/BIM-734263

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references : p. 73-76

رقم السجل

BIM-734263