Risk-Return Based Performance Evaluation of Stocks in BIST 100 and KOMPAS 100 Indices of Borsa Istanbul and Indonesian Stock Exchange

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dc.authoridKamil, Anton Abdulbasah/0000-0001-5410-812X
dc.contributor.authorOcal, Huseyin
dc.contributor.authorKamil, Anton Abdulbasah
dc.date.accessioned2024-09-11T19:53:18Z
dc.date.available2024-09-11T19:53:18Z
dc.date.issued2021
dc.departmentİstanbul Gelişim Üniversitesien_US
dc.description.abstractThis study aims to provide empirical insights into stocks' performance in the BIST 100 index of Borsa Istanbul and KOMPAS 100 index of the Indonesian Stock Exchange. The risk-free rates and top 100 stocks closing price data of Borsa Istanbul (BIST) and Indonesia Stock Exchange (IDX) have been examined. The Daily data between July 1, 2015, and June 30, 2020 are used. The Sharpe ratio and normal distribution tests are employed in the analysis. The study results have revealed that the portfolio's return consisting of positive low-five and top-five average Sharpe ratio stocks generally has beaten the indices under review except that a positive low-five average Sharpe ratio stocks portfolio built from KOMPAS 100 constituents during bearish market. Besides, the average Sharpe ratio of each stock in the positive low-five and top-five portfolio has been greater than the average Sharpe ratio of the indices. Moreover, the portfolio's return with the positive top-five average ratio Sharpe ratio stocks has outperformed the portfolio's return with positive low-five average Sharpe ratio stocks. We recommend that the Sharpe ratio is computed every six months or three months for BIST 100 and KOMPAS 100 stocks since the return data follow a more normal distribution in shorter periods.en_US
dc.identifier.doi10.46585/sp29021283
dc.identifier.issn1211-555X
dc.identifier.issn1804-8048
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85107118418en_US
dc.identifier.urihttps://doi.org/10.46585/sp29021283
dc.identifier.urihttps://hdl.handle.net/11363/8115
dc.identifier.volume29en_US
dc.identifier.wosWOS:000891635800010en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherUniv Pardubice, Fac Economics Admen_US
dc.relation.ispartofScientific Papers of The University of Pardubice-Series D-Faculty of Economics And Administrationen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.snmz20240903_Gen_US
dc.subjectPortfolio Investmenten_US
dc.subjectSharpe Ratioen_US
dc.subjectRisk and Rewarden_US
dc.subjectNormal Distributionen_US
dc.subjectKOMPAS 100en_US
dc.subjectBIST 100en_US
dc.subjectTurkeyen_US
dc.subjectIndonesiaen_US
dc.titleRisk-Return Based Performance Evaluation of Stocks in BIST 100 and KOMPAS 100 Indices of Borsa Istanbul and Indonesian Stock Exchangeen_US
dc.typeArticleen_US

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