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Introduction – The rapid flow of information between the markets eliminates the possibility of diversifying the portfolio by bringing the markets closer, and may cause the volatility in a market to spread to another market. In this context, revealing the relationships between conventional and participation markets or financial assets is important in terms of portfolio diversification and risk management.

Purpose – The major aim of this work is to analyse the existence of volatility spillover between conventional stock index and participation index based on the indexes in Turkish Capital Markets. BIST-30 and Katılım-30 indexes are used as the representatives of conventional stock index and participation index, respectively.

Methodology – Firstly, the univariate HYGARCH (1,d,1) parameters are calculated, and secondly, the dynamic equicorrelation (DECO) methodology is applied. DECO model is proposed to simplify structural assumptions by introducing a structure in which all twosomes of returns take the same correlation for a given time period. In this way, DECO model enables to have an optimal portfolio selection in comparison to an unrestricted time varying-dynamic correlation approaches and gives more advanced forecasting ability for the duration of the financial crisis periods compared to the various portfolios.

Findings – There is a strong correlation between BIST-30 and Katılım-30. They are affected by the same shocks. We expect to see different investor behaviours for Katılım-30 and BIST-30. However, they seem to have almost the same investor profile. In addition, there is a causality in both ways and volatility spillover between them.

The purpose of this paper is to show that major reversals of an index (specifically BIST-30 index) can be detected uniquely on the date of reversal by checking the extreme outliers in the rate of change series using daily closing prices.

The extreme outliers are determined by checking if either the rate of change series or the volatility of the rate of change series displays more than two standard deviations on the date of reversal. Furthermore; wavelet analysis is also utilized for this purpose by checking the extreme outlier characteristics of the A1 (approximation level 1) and D3 (detail level 3) wavelet components.

Paper investigates ten major reversals of BIST-30 index during a five year period. It conclusively shows that all these major reversals are characterized by extreme outliers mentioned above. The paper also checks if these major reversals are unique in the sense of being observed only on the date of reversal but not before. The empirical results confirm the uniqueness. The paper also demonstrates empirically the fact that extreme outliers are associated only with major reversals but not minor ones.

The results are important for fund managers for whom the timely identification of the initial phase of a major bullish or bearish trend is crucial. Such timely identification of the major reversals is also important for the hedging applications since a major issue in the practical implementation of the stock index futures as a hedging instrument is the correct timing of derivatives positions.

To the best of the author’ knowledge; this is the first study dealing with the issue of major reversal identification. This is evidently so for the BIST-30 index and the use of extreme outliers for this purpose is also a novelty in the sense that neither the use of rate of change extremity nor the use of wavelet decomposition for this purpose was addressed before in the international literature.

This paper aims to compare two groups of stocks to analyze the efficiency of an ethical portfolio in comparison with a conventional portfolio.

Efficiency test by second-order stochastic dominance (SSD) approach is applied on two groups, which consist of 12 stocks. Ethical portfolio is chosen from the stocks complying with the participation banking rules. Conventional portfolio is selected from Borsa Istanbul (BIST) with choosing the corresponding stocks for each ethical stock according to the sector and market capitalization. All the stocks of both groups are pairwise SSD compared.

Both groups of 12 stocks are inefficient portfolios; however, a group of 7 stocks constitute an efficient ethical portfolio with the total weight of 50.82 per cent among the set of 12 ethical stocks. On the other hand, a group of 6 stocks constitute an efficient conventional portfolio, with the total weight of 45.16 per cent among the set of 12 conventional stocks. By pairwise SSD comparison of corresponding stocks from both groups, despite none of the conventional stocks dominate ethical stocks, four ethical stocks dominated the conventional ones.

Back-testing and comparison with benchmark BIST 100 Index have been done for the selected portfolios. According to back-testing results, groups of SSD efficient stocks outperformed the groups, from which they were selected. Furthermore, both SSD efficient portfolios have higher returns than benchmark index, BIST 100.

Introduction – Emerging markets are under the influence of many external factors in global market conditions. International interest rates and price fluctuations in major stock market indices are also among these factors. The FED policies shape the international capital movements in particular, which significantly affects the emerging markets. For this reason, emerging stock markets may show different reactions especially in times of crisis.

Purpose – The purpose of this study is to investigate whether the BIST30 index acted in accordance with the overreaction hypothesis (ORH) against the return changes in the Dow Jones Industrial Average (DJIA) index in the process of the 2008 global financial crisis.

Methodology – The data set of the study was analysed by dividing it into two periods. The first period is the monetary expansion period between 17 August 2007, when the Federal Reserve (FED) reduced the interest rate for the first time, until 22 May 2013 when the FED announced that it would reduce the bond purchases. The second period is the monetary contraction period including the dates between 23 May 2013 and 1 June 2017. An error correction model (ECM) was established in both periods for the indices, determined as cointegrated. The validity of the ORH was tested by Cumulative Abnormal Return (CAR) Analysis.

Findings – According to the ECM, the authors identified that the effect of short-term changes in the DJIA return in the monetary expansion period on BIST30 index return was higher than that in the monetary contraction period. However, according to the findings obtained from the CAR analysis results, the BIST30 index did not generally act in accordance with the ORH against the DJIA. Findings can be appreciated as a decision-making tool especially for investment specialists and investors interested in securities investments.

This study aims to compare investors of major conventional currencies and Bitcoin (BTC) investors by using the value at risk (VaR) method common risk measure.

The paper used a risk analysis named as VaR. The analysis has various computations that Historical Simulation and Monte Carlo Simulation methods were used for this paper.

Findings of the analysis are assessed in two different aspects of singular currency risk and portfolios built. First, BTC is found to be significantly risky with respect to the major currencies; and it is six times riskier than the singular most risky currency. Second, in terms of inclusion of BTC into a portfolio, which equally weights all currencies, it elevates overall portfolio risk by 98 per cent.

In spite of the remarkable risk level, it could be considered that investors are desirous of making an investment on BTC could mitigate their overall exposed risk relatively by building a portfolio.

The paper questions the risk level of Bitcoin, which is a digital currency. BTC, a matter of debate in the contemporary period, is seen as a digital currency free from control or supervision of a regulatory board. With the comparison of major currencies and BTC shows that how could be risky of a financial instrument without regulations. However, there is some advice for investors who would like to invest digital currencies despite the risk level in this study.

This study aims to investigate the Hijri calendar effect in Borsa Istanbul (BIST) precious metal market and foreign exchange market (Dollar and Euro market) of Turkey.

The data of BIST gold market index and foreign exchange market are used for the period of 4 March 2003-30 September 2016 (1 Muharram 1424 – 28 Dhu al-Hijja 1437) in the study. These data are analyzed by using the dummy variable regression model and Kruskal–Wallis (KW) test.

The results of the regression models and KW test indicate that there is a Ramadan effect in the gold market and after-Ramadan effect in the Euro market. On the other hand, the Hijri month effect does not exist in the Dollar market.

This is the first paper that investigates the Hijri calendar effect in gold and foreign exchange markets of Turkey other than the stock market.

The authors examine whether Turkish fund managers employ liquidity timing along with market return timing, and if additional economic and market factors could affect their timing abilities, to help explain the contradictory results in literature vis-a-vis market timing ability.

The authors apply panel data analyses, with interaction terms and incorporating structural breaks, to monthly data for 96 out of 131 Turkish variable mutual funds which have available data for the sample period of 2011–2018. The authors employ the Amihud (2002) illiquidity measure to study market liquidity timing ability along with how additional economic and market factors affect this ability.

The authors find liquidity timing to be the performance enhancing method employed by Turkish variable fund managers in conjunction with market timing and that evidence for market timing may depend on whether structural breaks, that may be present in returns, are incorporated in the analysis. The authors also find that economic, technology and market-related factors affect timing abilities of fund managers.

Conclusions are for Turkey, for the sample period studied, and for the control factors selected based on literature.

It is important to understand the role of market liquidity in making investment decisions and the paper contributes toward an understanding of how managers design their timing strategies in order to enhance portfolio performance, as well as the impact of additional factors on their ability to time market returns and liquidity. This is also important for evaluating fund managers' performance in terms of contribution to portfolio value.

To the authors knowledge this is the first study on Turkish markets to employ liquidity timing in the context of panel data analyses using interaction terms, as well as structural breaks, to distinguish the extent of liquidity timing from return timing, while incorporating the effect of additional factors on timing ability.