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Investigating the Relationship between Selected Risk Measures and Sustainability Index

Author

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  • Dilara DEMIREZ
  • Serkan Yilmaz KANDIR

Abstract

The aim of this study is to investigate the relationship between the Borsa Istanbul Sustainability Index (XUSRD) and financial market risk indicators, namely the VIX, OVX, and GVZ volatility indices. The sample period spans from 01.12.2014 to 01.12.2023. We employ the ARDL Bounds Test and the Toda-Yamamoto Causality Test, using inflation and interest rate as control variables. The empirical findings reveal that while OVX and GVZ do not have a significant long-term relationship with XUSRD, there is a significant long-term relationship between VIX and XUSRD. The results indicate that VIX has a negative impact on XUSRD and there is a unidirectional causality relationship from VIX, OVX, and GVZ indices to XUSRD.

Suggested Citation

  • Dilara DEMIREZ & Serkan Yilmaz KANDIR, 2024. "Investigating the Relationship between Selected Risk Measures and Sustainability Index," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 18(1), pages 37-59.
    • Handle: RePEc:bdd:journl:v:18:y:2024:i:1:p:37-59
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    More about this item

    Keywords

    Risk; Sustainability Index; ARDL; Toda-Yamamoto;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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