Öz The purpose of this study is to examine the stock market performance and accounting performance of Participation 30 Index (KATLM), Corporate Governance Index (XKURY) and Sustainability Index (XUSRD), all of which are calculated by Borsa Istanbul (BIST) stock market. The companies in these indexes are approved as companies making socially-responsible investments. Design/methodology/approach – The risk-adjusted performance measures, Sharpe Ratio, Treynor Measure, Jensen Measure, Information Ratio, M2 Performance Measure and T2 Performance Measure were used in this article to calculate the stock market performance. The return on assets (ROA) and return on equity (ROE) were used as accounting based performance measures. The results show that there is a positive relation between social responsibility and financial performance for companies in BIST. Research limitations/implications - BIST Sustainability Index has started to be computed as of November 2014, and it is one of the limitations of this study. Practical implications – First, the shortage of investment alternatives of companies covered within the context ethical finance is not a disadvantage for them. Second, Islamic Finance, which can be investigated within the context of ethical finance, has become popular in recent years in Turkey. KATLM Index, which is consisted of stocks of the companies operating compatible with the principles of participation banking, is an alternative for risk averse investors. Originality/value - Turkish stock market is an emerging financial market. The findings of this study has implications for local and international investors for designing trading strategies, drawing investment decisions and risk management.
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