The Correlation Between Oil and S&P GCC Sharia Index Cover Image

Petrol Piyasası ile S&P Körfez İşbirliği Konseyi Kompozit Şeriat Endeksi Arasındaki İlişkinin Analizi
The Correlation Between Oil and S&P GCC Sharia Index

Author(s): Akile Demirsıkan, Yavuz Demirdogen
Subject(s): Energy and Environmental Studies, International relations/trade, Financial Markets
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: oil; economic power; stock market; trade;
Summary/Abstract: With the discovery of oil and the widespread use of its derivatives, significant changes have occurred in the economic power of oil-exporting countries. The oil produced in the Arabian Peninsula constitutes 50% of the world oil market. For this reason, emerging capital is important for the economies of these countries. Financial institutions have developed different products that can persuade Muslim Arabs to get this capital for themselves. Different Sharia indices have been derived to make companies, which have of global size and located in countries with a high Muslim population, investable and to include them in the system to be traded in the stock market. There are more than 50 indices consisting of Shariah-approved companies that meet the specified definition. This thesis aims to examine the interactions between the S&P GCC Composite Sharia index and oil prices formed by the member states of the Gulf Cooperation Council. Daily data covering the period of 01.09.2009-31.12.2021 were used in the research. Since the effects of the global economic crisis started to decrease and the market started to normalize, 2009 was chosen as the starting time. Although oil is the determining factor for the Gulf countries, other components of the selected index are also influential on the S&P GCC Composite Sharia Index. However, since oil prices are determined in international markets, oil is expected to have an independent effect from other components. In this study, time series analyses were made through Eviews and Gauss programs. First of all, stationarity tests were performed to analyze the relationship between the variables. Agumented Dickey Fuller (ADF) unit root test and Zivot-Andrews Unit Root Test were applied to determine the stationarity of the series and the series became stationary at the I(1) level. Afterwards, the causality of positive and negative shocks between the variables was investigated by Hatemi-J Asymmetric Causality Analysis. As a result of the Hatemi-J Asymmetric Causality Analysis, it was concluded that the variables did not have any effect on each other.

  • Page Range: 105-133
  • Page Count: 29
  • Publication Year: 2023
  • Language: Turkish