Vol. 10 No. 3 (2022): Business & Management Studies: An International Journal
Articles

Asymmetric return and volatility spillover from a different perspective: S&P Shariah? S&P Casinos&Gaming?

Fatih KONAK
Assoc. Prof. Dr., Hitit University, Çorum, Turkiye
Diler TÜRKOĞLU
PhD. Student, Hitit University, Çorum, Turkiye

Published 2022-09-25

Keywords

  • S&P 500 Shariah, S&P 500 Casinos&Gaming, VIX, Volatilite Yayılımı, Asimetrik Getiri
  • S&P 500 Shariah, S&P 500 Casinos&Gaming, VIX, Volatility Spillover, Asymmetric Return

How to Cite

KONAK, F., & TÜRKOĞLU, D. (2022). Asymmetric return and volatility spillover from a different perspective: S&P Shariah? S&P Casinos&Gaming?. Business &Amp; Management Studies: An International Journal, 10(3), 1172–1186. https://doi.org/10.15295/bmij.v10i3.2075

Abstract

The main purpose of this study is to reveal the reaction of the financial markets with a traditional and Islamic perspective to the VIX index. In this context, while the S&P 500 Shariah and S&P 500 Casinos & Gaming Indices, which can be considered two poles, were taken into the focus of analysis, it was investigated whether investors made investment decisions from a behavioural point of view and whether they were affected by the VIX fear index after these decisions, under the assumption that other variables were constant. In this perspective, the volatility spillover and asymmetric return between the two extreme indices and VIX index between 08.04.2008 and 19.01.2022 were analyzed with the Extended EGARCH method. According to the findings, even if a negative return spread from the VIX index is detected for both indices, the results are statistically insignificant. In the framework of asymmetric volatility, the leverage effect can be mentioned for both indices. Finally, there was a positive and statistically significant spillover from the VIX Index to the S&P 500 Shariah Index, and a negative and statistically insignificant spread in the S&P 500 Casinos & Gaming Index. In the analysis constraints, it was concluded that the VIX Index may have different effects on the index structures created with different perspectives.

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