The crisis resilience of optimal participation portfolios: A comparison with conventional counterparts on Borsa Istanbul

Karadağ T., SARAÇ M.

Borsa Istanbul Review, cilt.25, sa.3, ss.533-540, 2025 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 25 Sayı: 3
  • Basım Tarihi: 2025
  • Doi Numarası: 10.1016/j.bir.2025.02.004
  • Dergi Adı: Borsa Istanbul Review
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
  • Sayfa Sayıları: ss.533-540
  • Anahtar Kelimeler: Crisis resilience, Islamic finance, Islamic stocks, Modern portfolio theory, Participation stocks, Portfolio risk, Portfolio selection
  • İstanbul Üniversitesi Adresli: Evet

Özet

This study compares the resilience of optimal portfolios constructed using participation stocks (i.e., sharia-compliant stocks) to that of conventional stocks on Borsa Istanbul between 2011 and 2024 for three periods when a stock market crisis occurred. The three crises are related to Gezi Park, Pastor Brunson, and COVID-19. Our research is based on modern portfolio theory, proposed by Harry Markowitz, and our optimal portfolios are constructed using BIST 30 and KATILIM 30 companies between 2011 and 2024 as the universe of investments. Our results show that optimal participation portfolios are at least as resilient to crisis as optimal conventional portfolios and do not have any disadvantages in terms of returns and risks for the investors, who prefer to invest in ways that comply with Islamic or participation finance principles. The model is also tested using two alternative periods without crises, and its results confirm the earlier ones.