AN ASSESSMENT OF COINTEGRATION AND CAUSALITY RELATIONSHIPS BETWEEN BIST 50 AND KATILIM 30 INDICES

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