TIME-VARYING BETA OF THE PARTICIPATION 30 INDEX

Islamic stock indices are consisting of stocks that are subject to various filtering criteria related to the field of activity and indebtedness of stocks traded on conventional stock markets. The Participation 30 index (KATLM) consists of 30 stocks that are determined to meet the filtering criteria among the stocks traded on Borsa Istanbul. The purpose of the study is to compare the systematic risk of the Participation 30 index with Borsa Istanbul 100 index (BIST100) by calculating the time-varying beta coefficients of the Participation 30 index. The time-varying beta coefficients were calculated for the period from January 07, 2011 to July 31, 2018 using diagonal BEKK GARCH model (DBEKK-GARCH) which is a form of multivariate GARCH models. EGARCH model is performed the volatility estimation to determine whether the changes in beta coefficients have a relationship with the volatility of the index. In the study, it is concluded that the systematic risk of the Participation 30 Index has been changing in time and it is generally under BIST100 in most of the time periods. In addition, it was found that there was a strong relation between the time-varying beta coefficients and volatility, while the beta coefficients increased in the periods when the volatility increased and the tendency to decrease in the periods when it fell