Conceptualization of Customer Engagement and Prominent Themes in National Literature: A Bibliographic Analysis

Abstract

Purpose - This study aims to investigate the relationship between the Futures Market and Participation Index. The Futures Market is a type of market used to predict future price movements and provide hedging against risks. On the other hand, the Participation Index is a type of index created in accordance with Islamic finance principles and preferred by Islamic investors. Design/Metodology/Aproach - Representing the futures market, the BIST30 Futures Index is used, while representing the participation indexes, the BIST Participation100, BIST Participation50, and BIST Participation30 indexes are utilized. Data from the period of November 17, 2021, to March 5, 2024, has been employed in this study. The data pertaining to variables were transformed into return series and analyzed using the Dynamic Conditional Correlation (DCC-GARCH) model, which is one of the multivariate GARCH models. Findings - According to the research findings, it has been determined that the volatility of the BIST30 Futures Index, BIST Participation100 Index, BIST Participation50 Index, and BIST Participation30 Index is persistent and its effect lasts for a long time. Furthermore, a low degree of conditional correlation has been found between the BIST30 Futures Index and the BIST Participation100 Index, BIST Participation50 Index, and BIST Participation30 Index. Another important result obtained from the DCC-GARCH model is that there is no volatility spillover between the returns of the BIST30 Futures Index and the returns of the BIST Participation100 Index, BIST Participation50 Index, and BIST Participation30 Index. Discussion - As a result, it is observed that price movements of indexes tend to fluctuate steadily and continuously over a certain period, and price movements among indexes do not significantly influence each other. The BIST futures market does not currently appear to serve as a leading indicator for investors in the BIST participation indices. This study is expected to make a significant contribution to researchers and practitioners interested in evaluating the use of derivative instruments in Islamic financial markets.