Bist-30 Ve Katlm-30 Endeksleri̇ Arasindaki̇ İli̇şki̇ni̇n Değerlendi̇ri̇lmesi̇

Baykut, Ender; Çonkar, Kemalettin

doi:10.32951/mufider.780774

Cited by 7 publications

(1 citation statement)

References 14 publications

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“…Principally, the BIST Participation indices exclude the listings of the firms whose activities are about, among others, financial transactions with interest, production and trade of alcoholic beverages and gambling activities. The interaction between the BIST-30 index and the Participation-30 index, in fact, has been the subject of several studies such as Baykut & Çonkar (2020), Kahyaoğlu & Akkuş (2020) and Yıldırım & Sakarya (2019). The present study, however, is the first attempt to provide the comparative behavior patterns of these two indices against the movements in the major risk indicators of the Credit Default Swaps (CDS) and the Volatility Index (VIX), or as commonly called the Fear Index.…”

Section: Introductionmentioning

confidence: 99%

Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?

Bayramli¹,

Kula²,

Özdemir³

2023

JCGIRM

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Purpose: This study aims at determining the existence and, if any, the extent of comparative effects of the CDS premium and the VIX index on the BIST-30 and the Participation-30 indices before and during the pandemic. Methodology: The study explores the relationships of the CDS premium and VIX index to the BIST-30 index and the Participation-30 index for two time periods, as pre-pandemic and pandemic. The date range is set as 02.01.2018-10.03.2020 for the pre-pandemic period and as 11.03.2020-31.12.2021 for the pandemic period. Following the Johansen cointegration and ARDL tests employed to detect the long run relationships between the variables, FMOLS regression tests were used to determine the effect sizes. Results: As a result of the cointegration tests, long-term cointegration relationships of both the BIST-30 and the Participation-30 indices with the variables of the CDS premiums and the VIX index were determined before and during the pandemic period. FMOLS regression results posited that the VIX index had greater effect on the Participation 30 index in both periods. Originality and Practical Implications: The fact that the literature review does not reveal the existence of any study providing the comparative effects of the CDS premiums and the VIX index on both the BIST-30 and Participation-30 indices contributes to the originality of this paper.

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Section: Introductionmentioning

confidence: 99%

Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?

Bayramli¹,

Kula²,

Özdemir³

2023

JCGIRM

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TÜRKİYE VE BRICS BORSALARI ARASINDAKİ UZUN ve KISA DÖNEMLİ İLİŞKİLERİN PANDEMİ DÖNEMİ VE ÖNCESİNDE KARŞILAŞTIRMALI ANALİZİ

Kaya

2022

Yönetim Ve Ekonomi Araştırmaları Dergisi

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Bu çalışma Covid-19 pandemisi öncesinde ve pandemi döneminde BİST-100, BİST-50 ve BİST-30 endeksleri arasındaki uzun ve kısa dönemli ilişkilerin belirlenmesini amaçlamaktadır. Çalışmada endeksler arasındaki uzun döneme dair ilişkinin analizi için Johansen Eşbütünleşme Testi, kısa vadeli ilişkilerin belirlenmesi için ise Vektör Hata Düzeltme Modeli (VECM) kullanılmıştır. Ayrıca Granger Nedensellik Testi ile değişkenler arası nedensellik ilişkileri analiz edilmiştir. Eşbütünleşme testi bulgularına göre; hem pandemi öncesinde hem de pandemi döneminde BİST-100, BİST-50 ve BİST-30 arasında eşbütünleşme ilişkisi belirlenmiştir. Vektör Hata Düzeltme Modeli bulgularına göre; pandemi öncesi dönemde analize dahil edilen endekslerden birinde ortaya çıkan ortalamadan sapmaların diğerleri tarafından düzeltilemediği sonucuna ulaşılırken, pandemi döneminde ise BİST-100 ve BİST-50 endekslerinde meydana gelen ortalamadan sapmaların analize dahil edilen diğer endeksler tarafından düzeltilerek uzun vadede tekrar dengeye geldiği tespit edilmiştir. Granger Nedensellik Testinden elde edilen bulgulara göre ise, pandemi öncesi dönemde BİST endeksleri arasında nedensellik ilişkisi bulunamazken, pandemi döneminde ise endeksler arasında nedensellik ilişkisi tespit edilmiştir.

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

Kandemir

UÇAR

2022

Finans Ekonomi Ve Sosyal Araştırmalar Dergisi

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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.

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Bist-30 Ve Katlm-30 Endeksleri̇ Arasindaki̇ İli̇şki̇ni̇n Değerlendi̇ri̇lmesi̇

Cited by 7 publications

References 14 publications

Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?

Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?

TÜRKİYE VE BRICS BORSALARI ARASINDAKİ UZUN ve KISA DÖNEMLİ İLİŞKİLERİN PANDEMİ DÖNEMİ VE ÖNCESİNDE KARŞILAŞTIRMALI ANALİZİ

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

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