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

Joint Authors

Kayhana, Selim
Bayatb, Tayfur
Hassan, Muhammad Kabir

Source

Islamic Economic Studies

Issue

Vol. 24, Issue 2 (31 Dec. 2016), pp.45-76, 32 p.

Publisher

Islamic Development Bank (IDB) Islamic Research and Training Institute (IRTI)

Publication Date

2016-12-31

Country of Publication

Saudi Arabia

No. of Pages

32

Main Topic

Banking and Financial Sciences
Islamic Studies

Topics

Abstract 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.

American Psychological Association (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

Modern Language Association (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

American Medical Association (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

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references : p. 73-76

Record ID

BIM-734263