Open Access
Article
SciPap-1283
Risk-Return Based Performance Evaluation of Stocks in BIST 100 and KOMPAS 100 Indices of Borsa Istanbul and Indonesian Stock Exchange
by
Hüseyin Öcal 1 and Anton Abdulbasah Kamil 2,* 
1 Faculty of Economics, Administrative and Social Sciences, Istanbul Gelisim University, Cihangir Dist. Sehit Jandarma, Avcilar/Istanbul 34310, Turkey
2 Faculty of Economics, Administrative and Social Sciences, Istanbul Gelisim University, Cihangir Dist. Petrol Office Str. No:3-5 Gelisim Tower Avcilar/Istanbul, TURKEY, Istanbul 34310, Turkey
* Authors to whom correspondence should be addressed.
Abstract: This study aims to provide empirical insights into stocks' performance in the BIST 100 index of Borsa Istanbul and KOMPAS 100 index of the Indonesian Stock Exchange. The risk-free rates and top 100 stocks closing price data of Borsa Istanbul (BIST) and Indonesia Stock Exchange (IDX) have been examined. The Daily data between July 1, 2015, and June 30, 2020 are used. The Sharpe ratio and normal distribution tests are employed in the analysis. The study results have revealed that the portfolio's return consisting of positive low-five and top-five average Sharpe ratio stocks generally has beaten the Indices under review except that a positive low-five average Sharpe ratio stocks portfolio built from KOMPAS 100 constituents during bearish market. Besides, the average Sharpe ratio of each stock in the positive low-five and top-five portfolio has been greater than the average Sharpe ratio of the Indices. Moreover, the portfolio's return with the positive top-five average ratio Sharpe ratio stocks has outperformed the return of the portfolio with positive low-five average Sharpe ratio stocks. We recommend that the Sharpe ratio is computed for every six months or three months for BIST 100 and KOMPAS 100 stocks since the return data follow a more normal distribution in shorter periods.
Keywords: Portfolio Investment, Sharpe Ratio, Risk And Reward, Normal Distribution, Kompas 100, Bist 100
JEL classification: B26 - Financial Economics
Received: 31 March 2021 / Revised: 12 May 2021 / Accepted: 12 May 2021 / Published: 15 May 2021
