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.

中文翻译：

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考察美国即期利率和 VIX 对道琼斯伊斯兰市场指数的影响

本研究使用基于分位数的技术和小波相干性 (WTC) 分析，研究了芝加哥期权交易所 (VIX) 的市场波动指数和美国即期利率对道琼斯伊斯兰市场指数 (DJIMI) 的影响使用 2010 年 1 月至 2021 年 5 月期间的月度数据。分位数协整模型表明，VIX 和 DJIMI 之间的关系从长远来看可能有效，因为估计系数在分位数 0.05 和 0.50 上为负且具有统计显着性，而分位数自回归模型显示，VIX 和美国即期利率的大幅负值和正值变化短期内不会对 DJIMI 产生重大影响。考虑到政权更迭的作用，分位数回归模型发现，VIX 的上升会降低 DJIMI 的表现，这一点得到了 WTC 的支持。还强调道琼斯指数可能无法从积极的财务状况中受益。根据分位数回归模型，美国即期利率具有非对称效应，在道琼斯指数看跌/看涨的市场条件下，增减的稳定作用是有效的。