Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia

• Main Authors: Abdul Razak, Dzuljastri, Mustafa, Omar, Turkan, Yavuz, Kilic, Ethem
• Format: Article
• Language: English
• Published: Kulliyah of Economics of Management Science 2024
• Subjects: H61 Theory. Method
• Online Access: http://irep.iium.edu.my/112855/2/112855_Return%20and%20volatility%20interaction%20between%20Islamic%20indice.pdf; http://irep.iium.edu.my/112855/; https://journals.iium.edu.my/enmjournal/index.php/enmj/article/view/1168/466

With technology development, investment tools also vary. Money and capital market instruments are at the forefront of these, and virtual currencies have become investment tools. Because virtual currencies are not religiously permissible by many organizations causes the devout people to stay away from them. This study investigates the return and volatility interaction between Islāmic Indices and Bitcoin in Türkiye and Malaysia.. The study uses weekly data for the period 24 November 2013 – 2 January 2022 obtained from investing.com. Multivariate Dynamic Conditional Correlation (DCC-GARCH) and multivariate dynamic stochastic volatility models were used to determine the volatility dispersion between Islāmic indices and Bitcoin. Results show that the volatilities of Türkiye Islāmic Index, Malaysia Hijrah Sharīʿah Index and Bitcoin are permanent. Volatility of Bitcoin, however, has no effect on the return of the Türkiye Islāmic Index and the Malaysian Hijrah Sharīʿah Index. Likewise, the volatility of Islāmic indices does not affect the return of Bitcoin. According to the results of the DC-MSV model, the volatility of Islāmic indices and 150 International Journal of Economics, Management and Accounting 32, no. 1 (2024) the volatility of Bitcoin do not affect each other. This indicates that Islāmic index investors and Bitcoin investors differ.