Does Islamic Sensitivity Affect Portfolio Performance? A Different Perspective on Islamic Equity Investments
Öz
The aim of this study is to compare the performance of the stock portfolio, which consists of stocks that more comply with Islamic rules in terms of financial ratios, with the Participation 50 Index (KAT50). In this direction, two portfolios, market value-weighted and equally weighted, were created with 50 stocks traded on the Borsa Istanbul (BIST) and meeting the criteria in terms of both business activity and financial ratios. The sampling period was determined as July 2014 – October 2021 Capital Asset Pricing Model (CAPM) and risk adjusted performance measurement methods which are Sharpe Ratio, Treynor Ratio, M2 Measurement and Information Ratio were used to evaluate performance. The analysis shows that Portfolio 1 has the lowest systematic risk (β). Portfolio 2 performed better than others according to risk-adjusted performance measurement methods. Performance of Portfolio 1 was lower than both Portfolio 2 and KAT50. The results of the study reveal that an Islamic stock investment based on the principle of low threshold values used in screening can offer a successful risk-return performance.
Anahtar Kelimeler
Islamic Finance Islamic Stock Markets Portfolio Management Capital Asset Pricing Model
Kaynakça
- AAOIFI. (2015). Faizsiz Finans Standartları. İstanbul: TKBB Yayınları.
- Abu-Alkheil, A., Khan, W. A. ve Parikh, B. (2020). Risk-Reward Trade-Off and Volatility Performance of Islamic Versus Conventional Stock Indices: Global Evidence. Review of Pacific Basin Financial Markets and Policies, 23(1). doi:10.1142/S0219091520500022
- Abu Bakar, M. A. A. ve Ali, N. (2014). Performance Measurement Analysis: Shariah-Compliant vs. Non Shariah-Compliant Securities. Malaysian Accounting Review, 13(1), 75–108.
- 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. doi:10.1016/j.pacfin.2020.101385
- Alam, N., Arshad, S. ve Rizvi, S. A. R. (2016). Do Islamic Stock Indices Perform Better than Conventional Counterparts? An Empirical Investigation of Sectoral Efficiency. Review of Financial Economics, 31(1), 108–114.
- Charles, A., Darné, O. ve Pop, A. (2015). Risk and Ethical Investment: Empirical Evidence from Dow Jones Islamic Indexes. Research in International Business and Finance, 35, 33–56.
- Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427–431.
- Goodwin, T. H. (1998). The Information Ratio. Financial Analysts Journal, 54(43), 34–43. doi:10.2469/faj.v54.n4.2196
- Habib, M. ve Islam, K. ul. (2014). An Empirical Assessment of Islamic Index: A Case Study of India. International Journal of Research in Management & Technology, 4(3), 181–189.
- Jawadi, F., Jawadi, N. ve Louhichi, W. (2014). Conventional and Islamic Stock Price Performance: An Empirical Investigation. International Economics, 137(1), 73–87.
- Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945–1964. The Journal of Finance, 23(2), 389–416.
- Katılım Endeksi. (2021). Endeks Kuralları. 20 Mayıs 2021 tarihinde https://www.katilimendeksi.org/subpage/17/endeks_kurallari adresinden erişildi.
- Modigliani, F. ve Modigliani, L. (1997). Risk-Adjusted Performance: How to measure it and why. The Journal of Portfolio Management, 23(2), 45–54.
- Mohammad, N. ve Ashraf, D. (2015). The Market Timing Ability and Return Performance of Islamic Equities: An Empirical Study. Pacific-Basin Finance Journal, 34, 169–183.
- Phillips, P. C. B. ve Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335–346.
- Rejeb, A. R. ve Arfaoui, M. (2019). Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach. European Journal of Management and Business Economics, 28(3), 301–322. doi:10.1108/EJMBE-08-2018-0088
- Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138.
- TKBB. Standart No:1 - Pay Senedi İhracı ve Alım Satımı. TKBB Danışma Kurulu Katılım Finansı Standartları (2020).
- Trabelsi, L., Bahloul, S. ve Mathlouthi, F. (2020). Performance analysis of Islamic and conventional portfolios: The emerging markets case. Borsa Istanbul Review, 20(1), 48–54. doi:10.1016/j.bir.2019.09.002
- Treynor, J. L. (1965). How to Rate Management of Investment Funds. Harvard Business Review, 43(1), 63–75.
İslami Duyarlılık Portföy Performansını Etkiler Mi? İslami Hisse Senedi Yatırımlarına Farklı Bir Bakış Açısı
Öz
Bu çalışmanın amacı, finansal oranlar açısından İslami kurallara daha uygun hisse senetlerinden oluşan hisse senedi portföyünün performansının, Katılım 50 Endeksi (KAT50) ile karşılaştırılmasıdır. Bu doğrultuda, Borsa İstanbul’da (BIST) işlem gören ve hem faaliyet alanı hem de finansal oranlar bakımından filtreleme kriterlerini karşılayan 50 hisse senedi ile piyasa değeri ağırlıklı ve eşit ağırlıklı iki portföy oluşturulmuştur. Örneklem dönemi, Temmuz 2014 – Ekim 2021 olarak belirlenmiştir. Performans ölçümünde Sermaye Varlıkları Fiyatlama Modeli (SVFM) ve risk ayarlı performans ölçüm yöntemleri içerisinden Sharpe Oranı, Treynor Oranı, M2 Ölçütü ve Bilgi Oranı kullanılmıştır. Analiz sonuçlarına göre Portföy 1 en düşük sistematik riske (β katsayısı) sahiptir. Risk ayarlı performans ölçüm yöntemlerine göre Portföy 2’nin en başarılı portföy olduğu tespit edilmiştir. Portföy 1’in performansı ise hem Portföy 2’ye hem de KAT50’ye göre daha düşüktür. Çalışmanın sonuçları, filtrelemede kullanılan eşik değerlerin düşük olması ilkesi temel alınarak yapılan bir İslami hisse senedi yatırımının, başarılı bir risk-getiri performansı sunabileceğini ortaya koymaktadır.
Anahtar Kelimeler
İslami Finans İslami Hisse Senedi Piyasaları Portföy Yönetimi Sermaye Varlıkları Fiyatlama Modeli
Kaynakça
- AAOIFI. (2015). Faizsiz Finans Standartları. İstanbul: TKBB Yayınları.
- Abu-Alkheil, A., Khan, W. A. ve Parikh, B. (2020). Risk-Reward Trade-Off and Volatility Performance of Islamic Versus Conventional Stock Indices: Global Evidence. Review of Pacific Basin Financial Markets and Policies, 23(1). doi:10.1142/S0219091520500022
- Abu Bakar, M. A. A. ve Ali, N. (2014). Performance Measurement Analysis: Shariah-Compliant vs. Non Shariah-Compliant Securities. Malaysian Accounting Review, 13(1), 75–108.
- 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. doi:10.1016/j.pacfin.2020.101385
- Alam, N., Arshad, S. ve Rizvi, S. A. R. (2016). Do Islamic Stock Indices Perform Better than Conventional Counterparts? An Empirical Investigation of Sectoral Efficiency. Review of Financial Economics, 31(1), 108–114.
- Charles, A., Darné, O. ve Pop, A. (2015). Risk and Ethical Investment: Empirical Evidence from Dow Jones Islamic Indexes. Research in International Business and Finance, 35, 33–56.
- Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427–431.
- Goodwin, T. H. (1998). The Information Ratio. Financial Analysts Journal, 54(43), 34–43. doi:10.2469/faj.v54.n4.2196
- Habib, M. ve Islam, K. ul. (2014). An Empirical Assessment of Islamic Index: A Case Study of India. International Journal of Research in Management & Technology, 4(3), 181–189.
- Jawadi, F., Jawadi, N. ve Louhichi, W. (2014). Conventional and Islamic Stock Price Performance: An Empirical Investigation. International Economics, 137(1), 73–87.
- Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945–1964. The Journal of Finance, 23(2), 389–416.
- Katılım Endeksi. (2021). Endeks Kuralları. 20 Mayıs 2021 tarihinde https://www.katilimendeksi.org/subpage/17/endeks_kurallari adresinden erişildi.
- Modigliani, F. ve Modigliani, L. (1997). Risk-Adjusted Performance: How to measure it and why. The Journal of Portfolio Management, 23(2), 45–54.
- Mohammad, N. ve Ashraf, D. (2015). The Market Timing Ability and Return Performance of Islamic Equities: An Empirical Study. Pacific-Basin Finance Journal, 34, 169–183.
- Phillips, P. C. B. ve Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335–346.
- Rejeb, A. R. ve Arfaoui, M. (2019). Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach. European Journal of Management and Business Economics, 28(3), 301–322. doi:10.1108/EJMBE-08-2018-0088
- Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138.
- TKBB. Standart No:1 - Pay Senedi İhracı ve Alım Satımı. TKBB Danışma Kurulu Katılım Finansı Standartları (2020).
- Trabelsi, L., Bahloul, S. ve Mathlouthi, F. (2020). Performance analysis of Islamic and conventional portfolios: The emerging markets case. Borsa Istanbul Review, 20(1), 48–54. doi:10.1016/j.bir.2019.09.002
- Treynor, J. L. (1965). How to Rate Management of Investment Funds. Harvard Business Review, 43(1), 63–75.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Ekonomi |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 9 Şubat 2022 |
| Yayımlandığı Sayı | Yıl 2022 |