An Assessment of Cointegration and Causality Relationships Between Bist 50 and Katilim 30 Indices

Abstract

KATILIM indices, traded on Borsa Istanbul (BIST), the capital market platform of our country, have been the focus of attention of investors from every profile in recent years. In this study, the long-term balance and short-term relations between the returns of the BIST 50 traditional index and the KATILIM 30 index, which consists of the shares of 30 companies that are determined to operate in accordance with Islamic principles, were investigated. The data set of both indices consists of the daily closing values of the period from 06.01.2011 to 30.09.2021. As a result of the Johansen cointegration analysis, at least 2 cointegration findings in the long run among the index returns; As a result of the two-way Granger causality analysis, only one-way statistically significant causality was found from the BIST 50 index to the KATILIM 30 index. From this point of view, it is predicted that traditional indices have a decisive effect on Islamic index returns in the short term and that these instruments, which are traded on the basis of two different methodologies, do not differ from each other due to their cointegration, therefore the portfolio to be made with BIST 50 and KATILIM 30 indices within the framework of Modern Portfolio Theory will not be beneficial for the investor.