Türkiye’de Katılım 30 ve Bist 30 Endekslerinin Performanslarının Karşılaştırılması
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2023-08-18
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info:eu-repo/semantics/openAccess
Özet
Bu çalışmanın amacı BİST 30 endeksi ve İslami kurallara uygun olarak oluşturulan KATILIM 30 endeksinin performanslarını karşılaştırmaktır. Çalışmada 16 Kasım 2021 – 28 Nisan 2023 dönemi haftalık verileri kullanılmıştır. Çalışmanın uygulama aşamasında ise T testi, Sharpe oranı, Treynor endeksi ve Jensen’s Alfa teknikleriyle Bist 30 ve Katılım 30 endekslerinin performanslarının karşılaştırılması Eviews programıyla yapılmış ve yorumlanmaya çalışılmıştır. T testi ile yapılan karşılaştırmada iki endeksin haftalık ortalama getirileri arasında istatistiki olarak anlamlı bir fark olmadığı ortaya çıkmıştır. Jensen’s Alfa ile yapılan karşılaştırmada da Katılım 30 ve Bist 30 endekslerinin riske göre ayarlanmış performansları arasında yine istatistiki olarak anlamlı bir fark olmadığı tespit edilmiştir. Bu iki istatistiksel yönteme ilave olarak Sharpe Oranı ve Treynor Endeksi ile de Bist 30 ve Katılım 30 endekslerinin risk ayarlı performansları karşılaştırılmış ve aralarında bir fark olmadığı sonucuna varılmıştır. Sonuçlar Katılım 30 endeksinin İslami kaygılarla hareket eden bireysel ve kurumsal yatırımcılar için risk ve performans anlamında iyi bir alternatif olduğunu göstermektedir. Bununla birlikte Katılım 30 endeksine yatırım yapanların riske göre ekstra bir performans beklememeleri gerekmektedir. Çalışma dolaylı olarak Katılım endeksi kriterlerinin risk ayarlı performansa bir etkisinin olmadığına da göstermektedir. ?
The purpose of this operation is to meet the performances of the BIST 30 institution and the PARTICIPATION 30 institution, which it produces in accordance with Islamic rules. Weekly data for the period of 16 November 2021 – 28 April 2023 were used in the study. The application examples of the study are the comparison of the performances of the T test, Sharpe ratio, Treynor operation and Jensen's Alpha techniques with the Bist 30 and Participation 30 indices using the Eviews program and tried to be interpreted. In the comparison made with the t test, it was revealed that there was no statistical difference between the weekly average returns of the two studies. In the comparison made with Jensen's Alpha, no statistically significant difference was found between the risk-protected performances of the Participation 30 and Bist 30 indices. In addition to these two narrowing methods, the risk-adjusted performances of Sharpe Ratio and Treynor Index and Bist 30 and Participation 30 indices were compared and it was concluded that there was no difference between them. The results show that Participation 30 institutions are a good alternative to risk and performance systems for individual and corporate principles driven by Islamic concerns. However, those who invest in Participation 30 institutions should expect an extra performance according to the risk. It also shows a governing body to risk-adjusted performance of the Participation measure as a working environment."
The purpose of this operation is to meet the performances of the BIST 30 institution and the PARTICIPATION 30 institution, which it produces in accordance with Islamic rules. Weekly data for the period of 16 November 2021 – 28 April 2023 were used in the study. The application examples of the study are the comparison of the performances of the T test, Sharpe ratio, Treynor operation and Jensen's Alpha techniques with the Bist 30 and Participation 30 indices using the Eviews program and tried to be interpreted. In the comparison made with the t test, it was revealed that there was no statistical difference between the weekly average returns of the two studies. In the comparison made with Jensen's Alpha, no statistically significant difference was found between the risk-protected performances of the Participation 30 and Bist 30 indices. In addition to these two narrowing methods, the risk-adjusted performances of Sharpe Ratio and Treynor Index and Bist 30 and Participation 30 indices were compared and it was concluded that there was no difference between them. The results show that Participation 30 institutions are a good alternative to risk and performance systems for individual and corporate principles driven by Islamic concerns. However, those who invest in Participation 30 institutions should expect an extra performance according to the risk. It also shows a governing body to risk-adjusted performance of the Participation measure as a working environment."
Açıklama
Anahtar Kelimeler
İslami Finans, Katılım 30 Endeksi, İslami Sermaye Piyasaları, Jensen’s Alfa, Sharpe Oranı, Islamic Finance, Partipacition 30 Index, Islamic Capital Markets, Jensen’s Alpha, Sharpe Ratio
