Özet:

Sukuk, which is described as the equivalent of traditional bonds in Islamic financial products, is a financial product that draws quite attention in global markets and used by both Muslim and non-Muslim investors. Developments in financialization and financial product diversity have attracted attention to the investigations of volatility spillover and interaction between financial markets. This increase in both Islamic markets and volatility analysis has formed the basis for the study of certain Islamic Indices selected with the Dow Jones Sukuk Index, which is the aim of the study. In this context, the interaction between the return volatility of the Dow Jones Sukuk Index and the Dow Jones India Index, MSCI USA Islamic Index, Jakarta Islamic Index and Doha Al-Rayan Islamic Indices was examined based on the 2013-2021 period data. In this study, in which the Dynamic Conditional Correlation-GARCH model was used, it was concluded that there was volatility clustering and continuity in volatility in all series examined. In addition, in the results of the dynamic conditional correlation model, it was found that there is a positive volatility interaction that changes over time between Dow Jones Sukuk Index and Dow Jones India Index, MSCI USA Islamic Index and Doha Al-Rayan. Accordingly, when there is an increase in volatility in the Dow Jones Sukuk Index, it is expected that there will be an increase in volatility in these examined indices.

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