Katılım 30 Endeksi ile BİST 100 Endeksi'nin Performanslarının Değerlendirilmesi

Bu çalışmada ülkemizdeki İslami prensiplere uygun hisse senetlerinden oluşan Katılım 30 Endeksi ile BİST 100 Endeksi’nin 06 Ocak 2011 ile 30 Ekim 2014 ta- rihleri arasındaki risk ve getiri karakterleri incelenmiştir. Çalışma dönemi ikisi ar- tan ikisi azalan piyasa dönemi olmak üzere dört alt döneme ayrılmıştır. Yapılan eşleştirilmiş t testine göre endekslerin getirileri arasında anlamlı farklılığın olma- dığı bulunmuştur. Riske karşı düzeltilmiş performans teknikleri ile yapılan perfor- mans değerlendirmesinde incelenen döneminin bütününde ve alt dönemlerin bü- yük bölümünde Katılım 30 Endeksi’nin performansının daha iyi olduğu tespit edil- miştir. Elde edilen sonuçlara göre İslami filtrelemenin Katılım 30 Endeksi’nin per- formansında ters etki oluşturmadığı görülmüştür.

Evaluation of the Performances of Participation 30 Index and BIST 100 Index

The present study examines the risk and returns of Participation 30 Index inclu- ding stocks that are in accordance with Islamic principles governing trade and BIST 100 Index in the period from 6th January 2011 to 31st October 2014. The period we studied is further divided into two bull market periods and two bear market periods. In accordance with the paired t test, there is no significant diffe- rence between the returns of indices. Risk adjusted performance test shows that Participation 30 Index overperforms during the entire period and in most of the all sub periods. According to the results the Islamic filtering does not have an ad- verse effect on the performance.

Kaynakça

ABBES, Mouna Boujelbene; (2012), "Risk and Return of Islamic and Conventional Indices", International Journal of Euro-Mediterranean Studies , 5 (1), pp: 1-23.

ALBAITY, Mohamed and Rubi AHMAD; (2008), "Performance of Syriah and Composite Indices: Evidence from Bursa Malaysia", Asian Academy of Management Journal of Accounting and Finance , 4 (1), pp: 23-43.

AL-KHAZALI, Osamah, Hooi Hooi LEAN and Samet, ANIS; (2014), "Do Islamic Stock Indexes Outperform Conventional Stock Indexes? A Stochastic Dominance Approach", Pacific- Basin Finance Journal , 28 (Special Issue on Islamic Banking and Finance), pp: 29-46.

DHARANI, M. and P. NATARAJAN; (2011), "Equanimity of Risk and Return Relationship between Shariah Index and General Index in India", Journal of Economics and Behavioral Studies , 2 (5), pp: 213-222.

DOĞAN, Önder; (2011), "İslami Sermaye Piyasası Araçları, Dünyadaki Büyüklüğü, Türkiye'de Uygulanabilirliği ve Geliştirilmesine Yönelik Öneriler", Ankara: SPK Ortaklıklar Finansman Dairesi Yeterlilik Etüdü.

EL KHAMLICHI, Abdelbari, Aurelie SANNAJUST and Kabir Sarkar HUMAYUN; (2014a), "Islamic Equity Indices: Insight and Comparision with Conventional Counterparts", Bankers, Markets and Investors, 130, pp: 69-80.

EL KHAMLICHI, Abdelbari, Kabir Sarkar HUMAYUN, Mohamed AROURI and Frederic TEULON; (2014b), "Are Islamic Equity Indices More Efficient Than Their Conventional Counterparts? Evidence From Major Global Index Families", Journal of Applied Business Research (JABR), 30(4), pp: 1137-1150.

HAKIM, Sam and Manonchehr RASHIDIAN; (2002), "Risk and Return of Islamic Stock Market Indexes", Paper Presented at 9th Economic Research Forum Annual Conference, Sharjah, U.A.E.

HASSAN, Kabir and Eric GIRARD; (2011), "Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes", Networks Financial Institute, Indiana State Uni., 2011-WP-06.

HO, Catherine Soke Fun, Nurul Afiqah Abd RAHMAN, Noor Hafizha Muhamad YUSUF and Zaminor ZAMZAMIN; (2014), "Performance of Global Islamic versus Conventional Share Indices: International Evidence", Pacific-Basin Finance Journal, 28, pp: 110-121.

HUSSEIN, Khaled; (2004), "Ethical Investment: Empirical Evidence from FTSE Islamic Index", Islamic Economic Studies , 12 (1), pp: 21-40.

HUSSEIN, Khaled and Mohammed OMRAN; (2005), "Ethical Investment Revisited: Evidence from Dow Jones Islamic Indexes", Journal of Investing , 14 (3), pp: 105-126.

Islamic Finance Outlook, (2014), Kuveyt Finance House Resarch Ltd.

İslamiforex, http://www.islamiforex.net/islami-endeks-nedir, 12.11.2014.

JENSEN, Micheal C.; (1968) "The Performance of Mutual Funds in the Period 1945-1964", The Journal of Finance , 23 (2), pp: 389-416.

KAHRAMAN, Abdülkadir; KPMG Gündem Dergisi, Sayı: Ekim/ Aralık 2013, ss:56-58

Katılım Endeksi, www.katilimendeksi.org, 22/09/2014.

OMAR, Azmi, Muhamad ABDUH and Raditya SUKMANA; (2013), Fundamentals of Islamic Money and Capital Market, John Wiley & Sons.

Sermaye Piyasaları Araştırma ve Uygulama Merkezi (SERPAM), Mayıs 2013, İslamî Finans Kavramı, Ürünler, Dünyada ve Türkiye'de Gelişimi ve Geleceği, Araştırma Notları 1.

SHARPE, William F.; (1966), "Mutual Fund Performance", The Journal of Business , 39 (No: 1, Part 2: Supplement on Security Prices), PP: 119-138.

SHUBBAR, Sayed A.; (2010) "Empirical Performance of Islamic Stock Market Indices in 2008 Credit" , Thesis, the University Library, University of Twente.

Sorularla İslamiyet, http://m.sorularlaislamiyet.com/index. php?oku=3733, 18/09/2014

TREYNOR, Jack L.; (1965), "How to Rate Management of Investment Funds", The Journal of Business , 43 (1), 63-75.

YANPAR, Atila; (2014), İslami Finans İlkeler, Araçlar ve Kurumlar, Scala Yayıncılık, İstanbul.

Kaynak Göster