Karbon, Altın, Bitcoin ve Bir Gelişen Piyasa Sürdürülebilirlik Endeksi Arasındaki Dinamik Bağlantılılık

Abstract

Bu çalışma, BIST Sürdürülebilirlik Endeksi, Yeşil Tahvil, karbon emisyon izinleri, altın ve Bitcoin arasındaki evrilen bağlantılılığı, Ocak 2020 ile Şubat 2026 döneminde farklı jeopolitik risk (GPR) ortamları altında incelemektedir. TVP-VAR modeli, istatistiksel testler ve üçte birlik ayrıma dayalı sağlamlık tasarımı kullanılarak, yayılım yapısının GPR rejimleri arasında nasıl farklılaştığı analiz edilmiştir. Bulgular, Yeşil Tahvilin temel net şok yayıcısı, BIST Sürdürülebilirlik Endeksinin ise temel net şok alıcısı olduğu, orta düzeyde ve zaman içinde değişen bir bağlantılılık yapısına işaret etmektedir. Beklentilerin aksine, ortalama bağlantılılık düşük GPR döneminde anlamlı biçimde daha yüksektir; bu fark otokorelasyona dirençli testler, pandemi döneminin dışlanması ve COVID dönemi kontrolü altında da korunmakta; artan jeopolitik stres daha güçlü eş hareket yerine daha yüksek parçalanma ile ilişkilidir. Ayrıca, yayılımların yönsel mimarisi GPR rejimleri arasında farklılaşmaktadır. Özellikle altın, GPR yüksek olduğunda net alıcı konumundan net yayıcı konumuna geçerken, Bitcoin bunun tersini sergilemektedir. Bu yön değişimleri alternatif kurgularda işaret olarak tutarlıdır; Bitcoin'deki tersinme, üçte birlik ayrım altında otokorelasyona dirençli testlerle de doğrulanmaktadır. Sonuçlar, portföy çeşitlendirmesi ve kriz dönemlerinde korunma açısından önemli çıkarımlar sunmaktadır.

Keywords

• Dinamik Bağlantılılık
• TVP-VAR
• Yeşil Tahviller
• Jeopolitik Risk
• BIST Sürdürülebilirlik Endeksi

Dynamic Connectedness among Green Bonds, Carbon, Gold, Bitcoin, and An Emerging-Market Sustainability Index Under Geopolitical Risk

Abstract

This study examines the evolving interconnectedness among the BIST Sustainability Index, Green Bond, carbon emission allowances, gold, and Bitcoin under different geopolitical risk (GPR) environments from January 2020 through February 2026. A TVP-VAR model, combined with statistical testing and a tercile-based robustness design, is used to determine how the nature of spillovers differs across GPR regimes. The results reveal moderate time-varying connectedness, with Green Bond acting as the principal net transmitter and the BIST Sustainability Index as the primary net receiver. Contrary to expectations, average connectedness is significantly higher during the low-GPR period, and this difference survives autocorrelation-robust inference, the exclusion of the pandemic period, and a COVID-period control, indicating that elevated geopolitical stress is associated with greater fragmentation rather than stronger co-movement. In addition, the directional architecture of spillovers differs across GPR regimes: gold switches from a net receiver to a net transmitter under high GPR, whereas Bitcoin exhibits the opposite reversal. These shifts are consistent in sign across alternative specifications, and the Bitcoin reversal remains significant under dependence-robust inference in the tercile classification. These patterns carry important implications for portfolio diversification and crisis hedging.

Keywords

• Dynamic Connectedness
• TVP-VAR
• Green Bonds
• Geopolitical Risk
• BIST Sustainability Index

References

1. Adeosun, O.A., Anagreh, S., Tabash, M.I. and Vo, X.V. (2024). Return and volatility transmission among economic policy uncertainty, geopolitical risk and precious metals. Studies in Economics and Finance, 41(5), 1057-1084. https://doi.org/10.1108/SEF-10-2023-0586
2. Antonakakis, N., Chatziantoniou, I. and Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84. https://doi.org/10.3390/jrfm13040084
3. Arouri, M.E.H., Mhadhbi, M. and Shahrour, M.H. (2025). Dynamic connectedness and hedging effectiveness between green bonds, ESG indices, and traditional assets. European Financial Management, 31(5), 1704-1719. https://doi.org/10.1111/eufm.12561
4. Baykut, E. and Kula, V. (2019). The volatility and shock transmission patterns between the BIST Sustainability and BIST 100 indices. Frontiers in Applied Mathematics and Statistics, 5, 50. https://doi.org/10.3389/fams.2019.00050
5. Caldara, D. and Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225. https://doi.org/10.1257/aer.20191823
6. Chatziantoniou, I. and Gabauer, D. (2021). EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. The Quarterly Review of Economics and Finance, 79, 1-14. https://doi.org/10.1016/j.qref.2020.12.003
7. Cortellini, G. and Panetta, I.C. (2021). Green bond: A systematic literature review for future research agendas. Journal of Risk and Financial Management, 14(12), 589. https://doi.org/10.3390/jrfm14120589
8. Çağlı, E.Ç., Mandaci, P.E. and Taşkın, D. (2022). Environmental, social, and governance (ESG) investing and commodities: Dynamic connectedness and risk management strategies. Sustainability Accounting, Management and Policy Journal, 14(5), 1052-1074. https://doi.org/10.1108/SAMPJ-01-2022-0014

9. Diebold, F.X. and Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. https://doi.org/10.1016/j.ijforecast.2011.02.006
10. Diebold, F.X. and Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1), 119-134. https://doi.org/10.1016/j.jeconom.2014.04.012
11. Doğan, M., Sutbayeva, R., Nurbossynova, Z. and Bodaukhan, G. (2023). Analysis of dynamic connectedness relationships among clean energy, carbon emission allowance, and BIST indexes. Sustainability, 15(7), 6025. https://doi.org/10.3390/su15076025
12. Ghabri, Y., Huynh, L.D.T. and Nasir, M.A. (2022). Volatility spillovers, hedging and safe-havens under pandemics: All that glitters is not gold! International Journal of Finance & Economics, 29(2), 1318-1344. https://doi.org/10.1002/ijfe.2738
13. Gürbüz, S. (2025). Analysis of the connectedness relationship between Borsa İstanbul Sustainability Index and global volatility indices. Review of Financial Economics, 44, 1-20. https://doi.org/10.1002/rfe.70032
14. Gyamerah, S.A. and Asare, C. (2024). The impacts of global economic policy uncertainty on green bond returns: A systematic literature review. Heliyon, 10(3), e25076. https://doi.org/10.1016/j.heliyon.2024.e25076
15. Gyamerah, S.A., Agbi-Kaiser, H.O., Asare, C. and Dzupire, N. (2024). Asymmetric impact of heterogenous uncertainties on the green bond market. Discrete Dynamics in Nature and Society, 2024, 6644658. https://doi.org/10.1155/2024/6644658
16. Joshipura, M., Mathur, S., Joshipura, N. and Castelino, R. (2025). Decoding green bonds for sustainable development: A hybrid review and research agenda. Journal of Economic Surveys, 39(5), 2042-2056. https://doi.org/10.1111/joes.12687
17. Kakinuma, Y. (2023). ESG equities and Bitcoin: Responsible investment and risk management perspective. International Journal of Ethics and Systems, 40(4), 759-775. https://doi.org/10.1108/IJOES-03-2023-0049
18. Khalfaoui, R., Mefteh-Wali, S., Dogan, B. and Ghosh, S. (2023). Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis. International Review of Financial Analysis, 86, 102496. https://doi.org/10.1016/j.irfa.2023.102496
19. Koop, G., Pesaran, M. H. and Potter, S.M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147. https://doi.org/10.1016/0304-4076(95)01753-4
20. Le, T.N.L., Abakah, E.J.A. and Tiwari, A. K. (2021). Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution. Technological Forecasting and Social Change, 162, 120382. https://doi.org/10.1016/j.techfore.2020.120382
21. Manzli, Y.S., Fakhfekh, M., Béjaoui, A., Alnafisah, H. and Jeribi, A. (2025). On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models. PLOS ONE, 20(2), e0317735. https://doi.org/10.1371/journal.pone.0317735
22. Mensi, W., Gubareva, M., Ko, H.-U., Vo, X.V. and Kang, S.H. (2023). Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets. Financial Innovation, 9(1), 92. https://doi.org/10.1186/s40854-023-00498-y
23. Mokni, K., Youssef, M. and Ajmi, A.N. (2022). COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies. Research in International Business and Finance, 60, 101573. https://doi.org/10.1016/j.ribaf.2021.101573
24. Naeem, M.A., Karim, S. and Tiwari, A.K. (2023). Risk connectedness between green and conventional assets with portfolio implications. Computational Economics, 62(2), 609-637. https://doi.org/10.1007/s10614-022-10296-w
25. Ning, Y., Cherian, J., Sial, M. S., Álvarez-Otero, S., Comite, U. and Zia-Ud-Din, M. (2022). Green bond as a new determinant of sustainable green financing, energy efficiency investment, and economic growth: A global perspective. Environmental Science and Pollution Research, 30(22), 61324-61339. https://doi.org/10.1007/s11356-021-18454-7
26. Nittayakamolphun, P., Bejrananda, T. and Pholkerd, P. (2024). Asymmetric effects of uncertainty and commodity markets on sustainable stock in seven emerging markets. Journal of Risk and Financial Management, 17(4), 155. https://doi.org/10.3390/jrfm17040155
27. Oral, F. (2025). BIST sürdürülebilirlik endeksinin statik ve dinamik bağlantılılığı: Diebold-Yılmaz yaklaşımı. İşletme Araştırmaları Dergisi, 17(4), 3524-3539. https://doi.org/10.20491/isarder.2025.2166
28. Özdemir, H. (2022). Altının riskten korunma etkinliği: Farklı dinamik portföy yaklaşımları ile bankacılık sektörü için bir analiz. Ekonomi Politika ve Finans Araştırmaları Dergisi, 7(4), 889-908. https://doi.org/10.30784/epfad.1217479
29. Özdemir Höl, A. (2023). Covid-19 döneminde Türkiye'de finansal varlıklar arasındaki volatilite yayılımı: TVP-VAR uygulaması. İktisadi İdari ve Siyasal Araştırmalar Dergisi, 8(21), 339-357. https://doi.org/10.25204/iktisad.1204527
30. Pesaran, H.H. and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29. https://doi.org/10.1016/S0165-1765(97)00214-0
31. Rao, A., Gupta, M., Sharma, G.D., Mahendru, M. and Agrawal, A. (2022). Revisiting the financial market interdependence during COVID-19 times: A study of green bonds, cryptocurrency, commodities and other financial markets. International Journal of Managerial Finance, 18(4), 725-755. https://doi.org/10.1108/IJMF-04-2022-0165
32. Saini, M., Yadav, M., Agoba, A.M., Danso, A. and Adu-Ameyaw, E. (2025). Geopolitical risk, market indices, and ESG performance during crises. Business Strategy and the Environment, 34(7), 9421-9440. https://doi.org/10.1002/bse.70080
33. Salisu, A.A., Ogbonna, A.E., Lasisi, L. and Olaniran, A. (2022). Geopolitical risk and stock market volatility in emerging markets: A GARCH-MIDAS approach. The North American Journal of Economics and Finance, 62, 101755. https://doi.org/10.1016/j.najef.2022.101755
34. Shaik, M., Rabbani, M.R., Atif, M., Aysan, A.F., Alam, M.N. and Kayani, U.N. (2024). The dynamic volatility nexus of geo-political risks, stocks, bond, bitcoin, gold and oil during COVID-19 and Russian-Ukraine war. PLOS ONE, 19(2), e0286963. https://doi.org/10.1371/journal.pone.0286963
35. Sohag, K., Vasilyeva, R., Urazbaeva, A. and Voytenkov, V. (2022). Stock market synchronization: The role of geopolitical risk. Journal of Risk and Financial Management, 15(5), 204. https://doi.org/10.3390/jrfm15050204
36. Tiwari, A.K., Abakah, E.J.A., Gabauer, D. and Dwumfour, R.A. (2022). Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies. Global Finance Journal, 51, 100692. https://doi.org/10.1016/j.gfj.2021.100692
37. Vardar, G. and Aydoğan, B. (2019). Return and volatility spillovers between Bitcoin and other asset classes in Turkey. EuroMed Journal of Business, 14(3), 209-220. https://doi.org/10.1108/EMJB-10-2018-0066
38. Wang, K.-H., Wang, Z.-S., Yunis, M. and Kchouri, B. (2023). Spillovers and connectedness among climate policy uncertainty, energy, green bond and carbon markets: A global perspective. Energy Economics, 128, 107170. https://doi.org/10.1016/j.eneco.2023.107170
39. Wang, Q., Wei, Y., Wang, Y. and Liu, Y. (2022). On the safe-haven ability of Bitcoin, gold, and commodities for international stock markets: Evidence from spillover index analysis. Discrete Dynamics in Nature and Society, 2022, 9520486. https://doi.org/10.1155/2022/9520486
40. Wu, R. and Qin, Z. (2024). Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets. Energy, 292, 130504. https://doi.org/10.1016/j.energy.2024.130504
41. Yadav, M.P., Kumar, S., Mukherjee, D. and Rao, P. (2022a). Do green bonds offer a diversification opportunity during COVID-19? An empirical evidence from energy, crypto, and carbon markets. Environmental Science and Pollution Research, 30(3), 7625-7639. https://doi.org/10.1007/s11356-022-22492-0
42. Yadav, M.P., Tandon, P., Singh, A.B., Shore, A. and Gaur, P. (2022b). Exploring time and frequency linkages of green bond with renewable energy and crypto market. Annals of Operations Research, 348(3), 1547-1572. https://doi.org/10.1007/s10479-022-05074-8
43. Zhang, D., Chen, X.H., Lau, C.K.M. and Cai, Y. (2023). The causal relationship between green finance and geopolitical risk: Implications for environmental management. Journal of Environmental Management, 327, 116949. https://doi.org/10.1016/j.jenvman.2022.116949
44. Zhang, Y. and Umair, M. (2023). Examining the interconnectedness of green finance: An analysis of dynamic spillover effects among green bonds, renewable energy, and carbon markets. Environmental Science and Pollution Research, 30(31), 77605-77621. https://doi.org/10.1007/s11356-023-27870-w