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Purpose The purpose of this paper is to rank the performances of two participation indices developed in Turkey according to Islamic principles and six conventional indices based on their risks and returns for the years 2015, 2016 and 2017. Design/methodology/approach The performance of the two Islamic and six conventional indices were ranked using the technique for order preference by similarity to ideal solution (TOPSIS), i.e. a multiple-criteria decision-making method, and the weights of the decision criteria were determined using the objective weighting method called entropy. Findings The results do not show any statistically significant difference in returns between the participation indices and their conventional counterparts. However, all analyses performed using various risk metrics revealed the lowest risks for the Participation indices. Furthermore, in the TOPSIS ranking for all of the years, the Participation indices ranked above BIST 100, which was selected as the benchmark. Social implications Participation indices provide investors adhering to Islamic faith with opportunities through which they can comfortably invest with limited loss of financial performance for the study period. They also serve as a good alternative for risk-averse investors. Originality/value The paper is distinguished by the criteria and methodology it uses for index ranking. Furthermore, it is believed to be useful for the limited literature on the Participation Index in Turkey as well as for national and international investors and institutions interested in Islamic indices in particular.

A novel framework that injects future return predictions into portfolio constructionstrategies is proposed in this study. First, a long-short-term-memory (LSTM) model is trained to learn the monthly closing prices of the stocks.Then these predictions are used in the calculation of portfolio weights. Five different portfolio construction strategies are introduced including modifications to smart-beta strategies. The suggested methods are compared to a number of baseline methods, using the stocks of BIST30 Turkey index. Our strategies yield a very high mean annualized return (25%) which is almost 50% higher than the baseline approaches. The mean Sharpe ratio of our strategies is 0.57, whereas the compared methods' are 0.29 and −0.32. Comprehensive analysis of the results demonstrates that utilizing predicted returns in portfolio construction enables a significant improvement on the performance of the portfolios.

This document is the author's post-print version, incorporating any revisions agreed during the peer-review process. Some differences between the published version and this version may remain and you are advised to consult the published version if you wish to cite from it.

This paper investigates the impact of index additions (deletions) on the stock price and trading volume of the Participation-30 Index in Turkey, over the period April 2011-June 2015, by using event study methodology. Results show that stock prices generally respond negatively to index additions and positively to index deletions during the research periods. Trading volumes of added and deleted stocks are affected positively in the announcement day; while the effective day exhibits the exact opposite behaviour. According to our findings, results of Participation-30 Index in Turkey are similar to the non-Muslim countries' results found in the previous studies.