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Geleneksel ve İslami Hisse Senedi Endekslerinin COVID-19 Öncesi ve COVID-19 Dönemi Getiri Performanslarının Değerlendirilmesi

Year 2023, , 1120 - 1141, 25.11.2023
https://doi.org/10.21076/vizyoner.1258400

Abstract

Çalışmanın amacı Borsa İstanbul'da işlem gören BIST-50 ve BIST-30 geleneksel hisse senedi endeksleri ile KAT-50 ve KATLM-30 İslami endekslerinin getiri performanslarını, BIST-100 piyasa endeksinin performansı temelinde değerlendirmektir. Çalışmanın örneklemi 9 Temmuz 2014-10 Mart 2020 COVID-19 pandemi öncesi ve 11 Mart 2020-30 Eylül 2021 COVID-19 pandemi dönemi olarak iki alt dönemden oluşmaktadır. Endekslerin günlük kapanış değerlerinin ele alındığı çalışmada getiri performansları, Riske Göre Düzeltilmiş performans ölçütleri olan Sharpe, Treynor ve Jensen Alfa analizleriyle değerlendirilmiştir. Elde edilen bulgulara göre COVID-19 öncesi dönemde en yüksek ortalama kazanç geleneksel endekslerden, COVID-19 döneminde ise İslami endekslerden sağlanmıştır. COVID-19 öncesi dönemde geleneksel endekslerin getirileri, COVID-19 döneminde ise İslami endekslerin getirileri piyasa dalgalanmalarına karşı daha duyarlı olarak tespit edilmiştir. Bu bakımdan sistematik riski ve getirisi en yüksek yatırım araçları COVID-19 öncesi dönemde geleneksel endeksler iken, COVID-19 döneminde İslami endeksler olarak belirlenmiştir. Son olarak her bir performans ölçütüne göre pandemi öncesi dönemde geleneksel endeksler daha yüksek getiri performansı sergilerken, COVID-19 döneminde ise İslami endekslerin daha yüksek performans sergilediği ortaya konulmuştur. Sonuç olarak endeks yatırımları değerlendirildiğinde pandemi öncesi dönemde geleneksel endekslerin, volatilitenin yüksek olduğu çalkantılı dönemlerde ise İslami endekslerin yatırımcılar için daha iyi bir seçenek olacağı öngörülmüştür.

References

  • Aarif, B. H., Rafiq, M. R. I. ve Wahid, A. N. M. (2020). Do ‘shariah’iındices surpass conventional indices? a study on Dhaka Stock Exchange. International Journal of Islamic and Middle Eastern Finance and Management, 14(1), 94-113.
  • Acma, Q. (2014). Comparative study on performance evaluation of mutual fund schemes in Bangladesh: an analysis of monthly returns. Journal of Business Studies Quarterly, 5(4), 190-209.
  • Alam, M. ve Ansari, V. A. (2020). Are Islamic indices a viable investment avenue? an empirical study of Islamic and conventional indices in India. International Journal of Islamic and Middle Eastern Finance and Management, 13(3), 503-518.
  • Alam, N. ve Rajjaque, M. S. (2010). Shariah-compliant equities: empirical evaluation of performance in the european market during credit crunch. Journal of Financial Services Marketing, 15(3), 228-240.
  • Al-Khazali, O., Lean, H. H. ve Samet, A. (2014). Do Islamic stock indexes outperform conventional stock indexes? a stochastic dominance approach. Pacific-Basin Finance Journal, 28(2014), 29-46.
  • Altın, H. ve Caba, N. (2016). Borsa İstanbul’da işlem gören katılım endekslerinin performanslarının değerlendirilmesi. Finansal Araştırmalar ve Çalışmalar Dergisi, 8(15), 229-248. https://doi.org/10.1515/sbe-2017-0004
  • Al-Yahyaee, K. H., Mensi, W., Rehman, M. U., Vo, X. V. ve Kang, S. H. (2020). Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? extreme co-movements and portfolio management analysis. Pacific-Basin Finance Journal, 62, 101385.
  • Audi, M., Sadiq, A. ve Ali, A. (2021). Performance evaluation of Islamic and non-Islamic equity and bonds indices. evidence from selected emerging and developed countries, Journal of Applied Economic Sciences. 16(3), 1-22.
  • Bernstein, P. L. (2005). Capital ideas, the improbable origins of modern wall street. John Wiley & Sons, Inc.
  • BIST (Borsa İstanbul). (2021). 2021/76 sayılı BIST katılım endekslerinin hesaplanmaya başlaması hakkında duyuru. https://borsaistanbul.com/tr/duyuru/4773/202176-sayili-bist-katilim-endekslerinin-hesaplanmaya-baslamasi-hk-duyuru adresinden 16 Ocak 2023 tarihinde alınmıştır. BIST Katılım Endeksleri. (2023). https://borsaistanbul.com/tr/sayfa/6842/bist-katilim-endeksleri adresinden 16 Ocak 2023 tarihinde alınmıştır.
  • Dağlı, H., Ayaydin, H. ve Eyüboğlu, K. (2010). Kurumsal yönetim endeksi performans değerlendirmesi: Türkiye örneği. Muhasebe ve Finansman Dergisi, (48), 18-31. El Amrı, H. ve Hamza, T. (2017). Are there causal relationships between Islamic versus conventional equity indices? International Evidence, Studies in Business and Economics, 12(1), 40-60. https://doi.org/10.1515/sbe-2017-0004
  • El Khamlich, A., Sarkar, K., Arouri, M. ve Teulon, F. (2014). Are Islamic equity ındices more efficient than their conventional counterparts? evidence from major global ındex families. The Journal of Applied Business Research, 30(4), 1137-1150. Elton, E. J., Gruber, M. J., Brown, S. J. ve Goetzmann, W. N. (2014). Modern portfolio theory and investment analysis (9th Edition). John Wiley & Sons, Inc.
  • Ho, C. S. F., Abd-Rahman, N. A., Yusuf, N. H. M. ve Zamzamın, Z. (2014). Performance of global Islamic versus conventional share indices: international evidence. Pacific-Basin Finance Journal, 28(2014), 110–121.
  • ICD-Refinitiv Islamic Finance Development Report. (2022). 1-80.
  • Jabeen, M. ve Kausar, S. (2022). Performance comparison between Islamic and conventional stocks: evidence from Pakistan’s equity market. ISRA International Journal of Islamic Finance, 14(1), 59-72. https://doi.org/10.1108/IJIF-07-2020-0150
  • Jawadi, F., Jawadi, N. ve Louhichi, W. (2014). Conventional and Islamic stock price performance: an empirical ınvestigation. International Economics, 137(2014), 73-87.
  • Jensen, M. C. (1968). The Performance of mutual funds in the period 1945–1964. The Journal of Finance, 23(2), 389-416.
  • Karan, M. B. (2018). Yatırım analizi ve portföy yönetimi (5. Baskı). Gazi Kitabevi.
  • Karim, B. A., Datip, E. ve Shukri, M. H. (2014). Islamic stock market versus conventional stock market. International Journal of Economics, Commerce and Management, II(11), 1-9.
  • Levy, H. (1978). Equilibrium in an ımperfect market: a constraint on the number of securities in the portfolio. The American Economic Review, 68(4), 643-658.
  • Mahmood, K., Akhter, W. ve Shahzad, K. (2019). Return and risk based performance of conventional and Islamic equity funds: a comparative study from Pakistan. Pakistan Business Review, 21(1), 87-97.
  • Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
  • Özçam, M. (2005). Türkiye’de üç finansal varlığa (kamu kağıtları, hisse senetleri ve dövize) dayalı fiyatlama modeli. Sermaye Piyasası Kurulu Araştırma Raporu (Kamuya Açık).
  • Rana, E. ve Akhter, W. (2015). Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy. Financial Innovation, (2015), 1-15.
  • Sakarya, Ş., Yıldırım, H. H. ve Yavuz, M. (2018). Kurumsal Yönetim endeksi ve KATILIM 30 endeksi ile BİST 50 endeksi’nin performanslarının değerlendirilmesi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 439-454.
  • Saldanlı, A. (2012). Kurumsal Yönetim endeks performansının analizi. Ekonomik ve Sosyal Araştırmalar Dergisi, (20. Yıl Özel Sayı 2012), 137-154.
  • Seçme, O., Aksoy, M. ve Uysal, Ö. (2016). Katılım endeksi getiri, performans ve oynaklığının karşılaştırmalı analizi. Muhasebe ve Finansman Dergisi, (72), 107-128. https://doi.org/10.25095/mufad.396724
  • Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management Science, 9(2), 277-293.
  • Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119-138.
  • Sharpe, W. F., Alexander, G. J. ve Bailey, J. V. (1999). Investments (6th Edition). Prentice Hall, Inc.
  • Standard Chartered (2023). Islamic finance and the securities market outlook for 2023. https://www.sc.com/en/feature/islamic-finance-securities-market-outlook-2023/ adresinden 30 Mayıs 2023 tarihinde alınmıştır.
  • Trabelsi, L., Bahloul, S. ve Mathlouthı, F. (2020). Performance analysis of İslamic and conventional portfolios: the emerging markets case. Borsa İstanbul Review, 20(1), 48-54.
  • Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review, 43(1), 63-75.
  • Tükenmez, N. M., Şaka, H. ve Kızgın, M. (2019). Conventional and Islamic indices: a comparison on performance. Muhasebe ve Finansman Dergisi, (Özel Sayı), 415-430. https://doi.org/10.25095/mufad.607189
  • Umar, Z. (2017). Islamic vs conventional equities in a strategic asset allocation framework. Pacific-Basin Finance Journal, 42(2017), 1–10.
  • Yıldız, S. B. (2015). Katılım 30 endeksi ile BİST 100 endeksi’nin performanslarının değerlendirilmesi. Finans Politik & Ekonomik Yorumlar, 52(606), 41-54.
  • Yolsal, H. (2011). Hisse senetlerinin beklenen getiri ve risklerinin tahmininde alternatif modeller. Maliye Araştırma Merkezi Konferansları, 0(47), 179-199.

An Assessment of Return Performances of Conventional and Islamic Equity Indices Before and During the COVID-19 Period

Year 2023, , 1120 - 1141, 25.11.2023
https://doi.org/10.21076/vizyoner.1258400

Abstract

The aim of the study is to evaluate the return performances of the BIST-50 and BIST-30 conventional equity indices traded in Borsa Istanbul and the KAT-50 and KATLM-30 Islamic indices on the basis of the performance of the BIST-100 market index. The sample of the study consists of two sub-periods as 9 July 2014-10 March 2020 COVID-19 pre-pandemic and 11 March 2020-30 September 2021 COVID-19 pandemic period. In the study, which deals with the daily closing values of the indices, the return performances are evaluated with the Sharpe, Treynor and Jensen Alpha analysis, which are Risk Adjusted performance criteria. According to the findings, the highest average earnings are obtained from traditional indices in the pre-COVID-19 period, and from Islamic indices during the COVID-19 period. The returns of traditional indices in the pre-COVID-19 period and the returns of Islamic indices in the period of COVID-19 are determined to be more sensitive to market fluctuations. In this respect, while the investment instruments with the highest systematic risk and return are traditional indices in the pre-COVID-19 period, Islamic indices are determined in the COVID-19 period. Finally, according to each performance criterion, it is revealed that while conventional indices showed higher return performance in the pre-pandemic period, Islamic indices performed higher in the COVID-19 period. As a result, when index investments are evaluated, it is predicted that conventional indices will be a better option for investors in pre-pandemic period and Islamic indices in turbulent periods when volatility is high.

References

  • Aarif, B. H., Rafiq, M. R. I. ve Wahid, A. N. M. (2020). Do ‘shariah’iındices surpass conventional indices? a study on Dhaka Stock Exchange. International Journal of Islamic and Middle Eastern Finance and Management, 14(1), 94-113.
  • Acma, Q. (2014). Comparative study on performance evaluation of mutual fund schemes in Bangladesh: an analysis of monthly returns. Journal of Business Studies Quarterly, 5(4), 190-209.
  • Alam, M. ve Ansari, V. A. (2020). Are Islamic indices a viable investment avenue? an empirical study of Islamic and conventional indices in India. International Journal of Islamic and Middle Eastern Finance and Management, 13(3), 503-518.
  • Alam, N. ve Rajjaque, M. S. (2010). Shariah-compliant equities: empirical evaluation of performance in the european market during credit crunch. Journal of Financial Services Marketing, 15(3), 228-240.
  • Al-Khazali, O., Lean, H. H. ve Samet, A. (2014). Do Islamic stock indexes outperform conventional stock indexes? a stochastic dominance approach. Pacific-Basin Finance Journal, 28(2014), 29-46.
  • Altın, H. ve Caba, N. (2016). Borsa İstanbul’da işlem gören katılım endekslerinin performanslarının değerlendirilmesi. Finansal Araştırmalar ve Çalışmalar Dergisi, 8(15), 229-248. https://doi.org/10.1515/sbe-2017-0004
  • Al-Yahyaee, K. H., Mensi, W., Rehman, M. U., Vo, X. V. ve Kang, S. H. (2020). Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? extreme co-movements and portfolio management analysis. Pacific-Basin Finance Journal, 62, 101385.
  • Audi, M., Sadiq, A. ve Ali, A. (2021). Performance evaluation of Islamic and non-Islamic equity and bonds indices. evidence from selected emerging and developed countries, Journal of Applied Economic Sciences. 16(3), 1-22.
  • Bernstein, P. L. (2005). Capital ideas, the improbable origins of modern wall street. John Wiley & Sons, Inc.
  • BIST (Borsa İstanbul). (2021). 2021/76 sayılı BIST katılım endekslerinin hesaplanmaya başlaması hakkında duyuru. https://borsaistanbul.com/tr/duyuru/4773/202176-sayili-bist-katilim-endekslerinin-hesaplanmaya-baslamasi-hk-duyuru adresinden 16 Ocak 2023 tarihinde alınmıştır. BIST Katılım Endeksleri. (2023). https://borsaistanbul.com/tr/sayfa/6842/bist-katilim-endeksleri adresinden 16 Ocak 2023 tarihinde alınmıştır.
  • Dağlı, H., Ayaydin, H. ve Eyüboğlu, K. (2010). Kurumsal yönetim endeksi performans değerlendirmesi: Türkiye örneği. Muhasebe ve Finansman Dergisi, (48), 18-31. El Amrı, H. ve Hamza, T. (2017). Are there causal relationships between Islamic versus conventional equity indices? International Evidence, Studies in Business and Economics, 12(1), 40-60. https://doi.org/10.1515/sbe-2017-0004
  • El Khamlich, A., Sarkar, K., Arouri, M. ve Teulon, F. (2014). Are Islamic equity ındices more efficient than their conventional counterparts? evidence from major global ındex families. The Journal of Applied Business Research, 30(4), 1137-1150. Elton, E. J., Gruber, M. J., Brown, S. J. ve Goetzmann, W. N. (2014). Modern portfolio theory and investment analysis (9th Edition). John Wiley & Sons, Inc.
  • Ho, C. S. F., Abd-Rahman, N. A., Yusuf, N. H. M. ve Zamzamın, Z. (2014). Performance of global Islamic versus conventional share indices: international evidence. Pacific-Basin Finance Journal, 28(2014), 110–121.
  • ICD-Refinitiv Islamic Finance Development Report. (2022). 1-80.
  • Jabeen, M. ve Kausar, S. (2022). Performance comparison between Islamic and conventional stocks: evidence from Pakistan’s equity market. ISRA International Journal of Islamic Finance, 14(1), 59-72. https://doi.org/10.1108/IJIF-07-2020-0150
  • Jawadi, F., Jawadi, N. ve Louhichi, W. (2014). Conventional and Islamic stock price performance: an empirical ınvestigation. International Economics, 137(2014), 73-87.
  • Jensen, M. C. (1968). The Performance of mutual funds in the period 1945–1964. The Journal of Finance, 23(2), 389-416.
  • Karan, M. B. (2018). Yatırım analizi ve portföy yönetimi (5. Baskı). Gazi Kitabevi.
  • Karim, B. A., Datip, E. ve Shukri, M. H. (2014). Islamic stock market versus conventional stock market. International Journal of Economics, Commerce and Management, II(11), 1-9.
  • Levy, H. (1978). Equilibrium in an ımperfect market: a constraint on the number of securities in the portfolio. The American Economic Review, 68(4), 643-658.
  • Mahmood, K., Akhter, W. ve Shahzad, K. (2019). Return and risk based performance of conventional and Islamic equity funds: a comparative study from Pakistan. Pakistan Business Review, 21(1), 87-97.
  • Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
  • Özçam, M. (2005). Türkiye’de üç finansal varlığa (kamu kağıtları, hisse senetleri ve dövize) dayalı fiyatlama modeli. Sermaye Piyasası Kurulu Araştırma Raporu (Kamuya Açık).
  • Rana, E. ve Akhter, W. (2015). Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy. Financial Innovation, (2015), 1-15.
  • Sakarya, Ş., Yıldırım, H. H. ve Yavuz, M. (2018). Kurumsal Yönetim endeksi ve KATILIM 30 endeksi ile BİST 50 endeksi’nin performanslarının değerlendirilmesi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 439-454.
  • Saldanlı, A. (2012). Kurumsal Yönetim endeks performansının analizi. Ekonomik ve Sosyal Araştırmalar Dergisi, (20. Yıl Özel Sayı 2012), 137-154.
  • Seçme, O., Aksoy, M. ve Uysal, Ö. (2016). Katılım endeksi getiri, performans ve oynaklığının karşılaştırmalı analizi. Muhasebe ve Finansman Dergisi, (72), 107-128. https://doi.org/10.25095/mufad.396724
  • Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management Science, 9(2), 277-293.
  • Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119-138.
  • Sharpe, W. F., Alexander, G. J. ve Bailey, J. V. (1999). Investments (6th Edition). Prentice Hall, Inc.
  • Standard Chartered (2023). Islamic finance and the securities market outlook for 2023. https://www.sc.com/en/feature/islamic-finance-securities-market-outlook-2023/ adresinden 30 Mayıs 2023 tarihinde alınmıştır.
  • Trabelsi, L., Bahloul, S. ve Mathlouthı, F. (2020). Performance analysis of İslamic and conventional portfolios: the emerging markets case. Borsa İstanbul Review, 20(1), 48-54.
  • Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review, 43(1), 63-75.
  • Tükenmez, N. M., Şaka, H. ve Kızgın, M. (2019). Conventional and Islamic indices: a comparison on performance. Muhasebe ve Finansman Dergisi, (Özel Sayı), 415-430. https://doi.org/10.25095/mufad.607189
  • Umar, Z. (2017). Islamic vs conventional equities in a strategic asset allocation framework. Pacific-Basin Finance Journal, 42(2017), 1–10.
  • Yıldız, S. B. (2015). Katılım 30 endeksi ile BİST 100 endeksi’nin performanslarının değerlendirilmesi. Finans Politik & Ekonomik Yorumlar, 52(606), 41-54.
  • Yolsal, H. (2011). Hisse senetlerinin beklenen getiri ve risklerinin tahmininde alternatif modeller. Maliye Araştırma Merkezi Konferansları, 0(47), 179-199.
There are 37 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Articles
Authors

Tuğrul Kandemir 0000-0002-3544-7422

Gözde Uçar 0000-0003-0573-839X

Publication Date November 25, 2023
Submission Date March 1, 2023
Published in Issue Year 2023

Cite

APA Kandemir, T., & Uçar, G. (2023). Geleneksel ve İslami Hisse Senedi Endekslerinin COVID-19 Öncesi ve COVID-19 Dönemi Getiri Performanslarının Değerlendirilmesi. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 14(40), 1120-1141. https://doi.org/10.21076/vizyoner.1258400

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