Business & Management Studies: An International Journal

Business & Management Studies: An International Journal

AN INVESTIGATION ON THE SYSTEMATIC RISK OF ISLAMIC STOCK MARKETS UNDER MARKOV REGIME SWITCHING MODEL: EVIDENCE FROM PARTICIPATION 30 INDEX

Yazarlar: Fatih GÜÇLÜ

Cilt 7 , Sayı 5 , 2019 , Sayfalar 2910-2924

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Özet: The purpose of this study is to estimate the systematic risk of the Participation 30 Islamic Stock Index (KATLM) listed on the Borsa Istanbul for different volatility regimes with Markov Regime Change Model (MS-SVFM) and compare the riskiness of KATLM with the conventional index Borsa Istanbul 100 (BIST100). In the study, beta coefficients of KATLM index were estimated by using conventional linear SVFM and nonlinear MS-SVFM models. After that, for testing whether nonlinear model is superior to linear model, likelihood ratio test was used. According to the results obtained from both models, the systematic risk of KATLM was estimated lower than BIST100. MS-SVFM results suggested that, unlike the linear model, beta coefficients tend to change over time between low and high volatility regimes. The LR test results showed that the two-stage Markov Regime Switching model is superior to the linear model.

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@article{2019, title={AN INVESTIGATION ON THE SYSTEMATIC RISK OF ISLAMIC STOCK MARKETS UNDER MARKOV REGIME SWITCHING MODEL: EVIDENCE FROM PARTICIPATION 30 INDEX}, volume={7}, number={2910–2924}, publisher={Business & Management Studies}, author={Fatih GÜÇLÜ}, year={2019} }
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Fatih GÜÇLÜ. (2019). AN INVESTIGATION ON THE SYSTEMATIC RISK OF ISLAMIC STOCK MARKETS UNDER MARKOV REGIME SWITCHING MODEL: EVIDENCE FROM PARTICIPATION 30 INDEX (Vol. 7). Vol. 7. Business & Management Studies.
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Fatih GÜÇLÜ. AN INVESTIGATION ON THE SYSTEMATIC RISK OF ISLAMIC STOCK MARKETS UNDER MARKOV REGIME SWITCHING MODEL: EVIDENCE FROM PARTICIPATION 30 INDEX. no. 2910–2924, Business & Management Studies, 2019.
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