Publication: İslami Endekslerin Temel Performans Göstergeleriyle Karşılaştırmalı Analizi
Abstract
Genel olarak İslami endeks, ulusal ve uluslararası pazarda işlem gören İslami kurallara göre faaliyet gösteren şirketlerin hisse senetlerini içeren borsa endeksidir. İlk olarak 1990 yılında, ABD Wall Street Borsası'nda tanıtılmıştır. İslami endeksler İslami esaslara uygun olarak faaliyet gösteren firmaların hisse senedi performansını ölçmek için büyük önem taşımaktadır. Bu çalışmada, Standard and Poor, Dow Jones, Morgan Stanley ve Financial Times Borsası İslami Endeksleri aylık frekansta çalışmaya dahil edilmiş ve performanslarını karşılaştırmak için tekli endeks modeli oluşturarak beta değerleri tahmin edilmiştir. Çalışmada Finansal Varlıkları Fiyatlandırma Modeli (CAPM) kullanılarak, endeksler için beklenen getiri tahmin edilmiştir. Buna ek olarak, portföy performanslarını karşılaştırmak için Sharpe Oranı, Treynor Oranını karşılaştırmak için, Jensen Performans Oranı hesaplanmıştır
Islamic index in general is the stock exchange index that includes stocks traded in the national and international market, the companies operating in accordance with Islamic law. First in 1990, it was introduced in the US Wall Street Stock Exchange. Islamic indices have a great importance to be able to measure the stock performance of companies operating in accordance with Islamic principles. In this study Standard and Poor’s, Dow Jones, Morgan Stanley, and the Financial Times Stock Exchange Islamic Indices have been included in the study on a monthly frequency and to compare the performance beta values are estimated by creating the index single index model. In the study using the Capital Asset Pricing Models (CAPM), expected return for indices were estimated. In addition, to compare portfolio performance Sharpe Ratio, Treynor Ratio, Jensen Performance Ratio is calculated
Islamic index in general is the stock exchange index that includes stocks traded in the national and international market, the companies operating in accordance with Islamic law. First in 1990, it was introduced in the US Wall Street Stock Exchange. Islamic indices have a great importance to be able to measure the stock performance of companies operating in accordance with Islamic principles. In this study Standard and Poor’s, Dow Jones, Morgan Stanley, and the Financial Times Stock Exchange Islamic Indices have been included in the study on a monthly frequency and to compare the performance beta values are estimated by creating the index single index model. In the study using the Capital Asset Pricing Models (CAPM), expected return for indices were estimated. In addition, to compare portfolio performance Sharpe Ratio, Treynor Ratio, Jensen Performance Ratio is calculated