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This study examines the return performance and volatility behavior of Borsa Istanbul 100 Index and Participation 30 Index. It focuses on four main points. First, volatility of Borsa Istanbul 100 Index and Participation 30 Index is analyzed by using GARCH(1,1) and EGARCH(1,1) methodologies. Second, the relationship between the performances of both indexes is analyzed. Third, the return performance of Participation 30 Index and Borsa Istanbul 100 Index are compared. And the last point is the relationship between Participation 30 Index, Dow Jones Industrial Average and Dow Jones Islamic Market World is also analyzed. Borsa Istanbul 100 Index is more volatile than Participation 30 Index. Index volatilities gives different reactions to good and bad news. The return pattern observed between Participation 30 Index and Borsa Istanbul 100 index is strong enough. Participation 30 Index performance is closely related to stock market performance. It is found that the beta, sensitivity of Participation 30 Index with respect to Borsa Istanbul 100 Index is less than one. This shows an opportunity for risk averse investors to use Participation 30 Index as an alternative for their portfolios. When the index performances are compared, Participation 30 Index has better performance. Jensen alfa for Participation 30 Index is positive. There is a poor relationship between Participation 30 Index and Dow Jones Islamic Market World and the beta sensitivity of Participation 30 Index with respect to Dow Jones Islamic Market World is also less than one.
this study examines the return performance and volatility behavior of exchange istanbul 100 ındex and agree 30 ındex ıts on fur main points first volatility of exchange in istanbul 100 ındex and agree 30 compared to the decision of the world of relationship between the popularity of both indexes is structural third the return performance of the organization 30 ındex and the exchange of istanbul 100 ındex are compared and the last point is determined by the legalization of the exchange of the exchange of the exchange of the exchange between 30 years and 30 countries of the world in the country where the market is better than 30 years of the market is in the country of the market of the country of the country of america in the country of the exchange of the country of the country of the country of the country of america
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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