Relationality between macroeconomic factors and returns-risk profiles of BIST Participation index and BIST 30 index

In the study covering the period between 2011:2 – 2020:4, 111 monthly and 2328 daily data sets were used. The study includes two different stages. In the first stage, Sharpe Ratio, Treynor Ratio and Jensen Ratio, from the risk-adjusted methods, were used to determine the monthly return-risk profiles of BIST Participation 30 and BIST 30 indexes. In the second stage, major macroeconomic variables, namely exchange rate, gold prices, inflation rate, oil prices, interest rate, FTSE 100 index and S&P 500 index, were used to investigate the effects of these variables on the BIST Participation 30 and BIST 30 return-risk profiles. In order to determine which econometric tests to be applied first in the research, the stationarity of the series was tested using Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP). Since some of the variables are stationary at level while others are stationary at the first difference, the correlation between the variables was investigated using the ARDL Bounds Test method. Two different models, in which the BIST Participation 30 return-risk profile and the BIST 30 return-risk profile constitute the dependent variables, were established. As a result of the research, it was concluded that the risk-adjusted returns of the BIST Participation 30 index performed better than the risk-adjusted returns of the BIST 30 index according to all three methods. Furthermore, it was determined that the return-risk profile of the BIST Participation 30 index has a positive relationship with the exchange rate, inflation rate, and S&P 500 index, while a negative relationship with the interest rate and the FTSE 100 index. A statistically significant relationship was not found between the return/risk series of the BIST Participation 30 index and gold prices and oil prices. While a negative relationship was found between the return-risk profile of the BIST 30 index and the interest rate; no statistically significant relationship was found with the other independent variables.