Systematic risk measurement in participation model portfolio index companies

The purpose of this research is to calculate the financial risks of firms in the Participation Model Portfolio Index. In this context, the sample of the research consists of the Participation Index firms, which include 13 publicly traded companies operating according to Islamic rules. In the analysis, the stock value data of the related companies in the daily frequency between 2016-2017 were used. Within the scope of the analysis, firstly descriptive statistics related to stocks were calculated, then the correlation between the stock values of the firms included in the participation index was analyzed, and finally the risks of stocks were calculated by regression analysis. The results of the analysis show that the participation index has a statistically significant affect on 13 stocks included in the research. The results of the research show that the Participation Index can be used as a portfolio diversification tool for domestic and foreign investors who tend to invest in assets covered by Islamic Finance. Investors who are willing to take high risks would invest in Emlak Konut, Akçansa, Albaraka Türk, Çemtaş, Nuh Çimento, Ege Seramik, Erbosan, Ereğli Demir Çelik and Kütahya Porcelain, which are found to be relatively riskiser assets, and investors who avoid high risk would invest in Pınar Et ve Un, Pınar Süt, Selçuk Ecza and Soda Sanayii. Consequently, the research made significant contributions to the literature in terms of expanding the limited literature on Islamic Finance assets especially for developing countries, and examining the risk values of Islamic Financial assets.