Vol. 13 No. 4 (2025): Business & Management Studies: An International Journal
Articles

Macroeconomic determinants of Türkiye's participation index: A VECM and SVAR analysis

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  • Fazlı Irmak
Fazlı Irmak
Asst. Prof. Dr., Bafra Vocational School, Ondokuz Mayıs University, Samsun, Türkiye

Published 2025-12-25

Keywords

  • Participation Index, Cointegration Test, Structural VAR (SVAR) Analysis
  • Katılım Endeksi, Eşbütünleşme Testi, Yapısal VAR (SVAR) Analizi

How to Cite

Macroeconomic determinants of Türkiye’s participation index: A VECM and SVAR analysis. (2025). Business & Management Studies: An International Journal, 13(4), 2076-2100. https://doi.org/10.15295/bmij.v13i4.2673

Copyright (c) 2025 Fazlı Irmak

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

How to Cite

Macroeconomic determinants of Türkiye’s participation index: A VECM and SVAR analysis. (2025). Business & Management Studies: An International Journal, 13(4), 2076-2100. https://doi.org/10.15295/bmij.v13i4.2673

Abstract

This study examines the sensitivity of Türkiye's Participation Index (XK100) to key macroeconomic and financial indicators. Using daily data from November 2021 to November 2024, Johansen cointegration, Vector Error Correction Model (VECM), Granger causality, and Structural VAR (SVAR) analyses are employed. The results indicate that the Participation Index is positively associated with the BIST 100 index, gold prices, and the profit-sharing rates of participation banks. In contrast, it is negatively associated with interest rates and the global risk indicator (VIX). No long-run relationship is found between the exchange rate and the CDS premium. SVAR findings show that the index is particularly sensitive to shocks in interest rates and global uncertainty, yet it maintains a strong long-run cointegration with the conventional index. Overall, the results suggest that Islamic financial markets in Türkiye are not entirely decoupled from traditional markets and remain influenced by similar macro-financial risk factors, offering valuable implications for investors and policymakers.

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