Özet:

Islamic stock market indices are compiled according to different criteria, so they have expected to have different price dynamics from traditional stock markets. The study investigates the return characteristics of developed and developing country MSCI-Islamic stock market indices during the 2008 and COVID-19 crisis periods by using ARMA-GARCH models. The findings of the study show that the returns of MSCI-Islamic indices do not comply with the normal distribution, which is considered essential in many finance theories. While the risk premium is not statistically significant for returns denominated in US dollars, it has been empirically proven that volatility is permanent in all stock markets. Asymmetric volatility in stock markets was mostly observed in the 2008 crisis. It was reported that only the returns of the Japanese stock market were predictable in both crisis periods. Although MSCI-Islamic stock market indices generally have different return characteristics among themselves, it has been noted that Large-Scale Price Changes and speculative transactions are frequently experienced in all stock markets.

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