Examination of the impacts of the immediate interest rate of the United States and the VIX on the Dow Jones Islamic Market Index

ÖZÇELEBİ O., Pérez-Montiel J. A.

BULLETIN OF ECONOMIC RESEARCH, vol.75, no.4, pp.1157-1180, 2023 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 75 Issue: 4
  • Publication Date: 2023
  • Doi Number: 10.1111/boer.12399
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, Periodicals Index Online, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Geobase, Public Affairs Index, zbMATH
  • Page Numbers: pp.1157-1180
  • Keywords: asymmetry, financial conditions, Islamic stocks, quantile-based analysis, regime changes
  • Istanbul University Affiliated: Yes


This study examines the effects of the market volatility index of the Chicago Board Options Exchange (VIX) and the immediate interest rate of the United States on the Dow Jones Islamic Market Index (DJIMI) using quantile-based techniques and wavelet coherence (WTC) analysis with monthly data for the period January 2010to May 2021. A quantile cointegration model indicated that the relationship between the VIX and the DJIMI can be valid in the long term since the estimated coefficients are negative and statistically significant across the quantiles 0.05 and 0.50, while a quantile autoregressive model revealed that large negative and positive changes in the VIX and the immediate interest rate of the United States do not have a significant impact on the DJIMI in the short term. Allowing the role of regime changes, it was found by the quantile regression model that an increase in the VIX lowers the performance in the DJIMI, supported by the WTC. It was also underlined that the DJIMI may not benefit from the positive financial conditions. According to the quantile regression models, the immediate interest rate of the US has asymmetrical effects, and the stabilizing effect of the increase/decrease is valid during bearish/bullish market conditions in the DJIMI.