Çevresel Sosyal Yönetişim (ÇSY) ve Sürdürülebilirlik Perspektifinden Türkiye, Amerika Birleşik Devletleri ve Almanya Hisse Senedi Piyasaları Üzerine Bir Araştırma

Abstract

Çevresel, Sosyal ve Yönetişim (ÇSY) pratikleri gelişmiş piyasalardan diğer pazarlara doğru yayılım göstermektedir. Bu çalışmada seçili hisse senedi piyasalarındaki ÇSY endeksleri ile piyasa endeksleri arasındaki ilişkiler incelenmiştir. Bu çalışmanın amacı; 2014 Aralık ile 2024 Aralık arasındaki dönemde, seçili borsa endekslerindeki değişimlerin bu borsalardaki ÇSY endeksleri üzerindeki muhtemel etkilerinin yönü ve şiddetinin araştırılmasıdır. Borsa İstanbul, Standart & Poor’s ve Frankfurt Menkul Kıymetler Borsası ana endeksleri ile ÇSY endeksleri arasındaki ilişkiler her bir piyasa için üç farklı basit doğrusal regresyon modeli tahmin edilerek incelenmiş ve üç modele ait sonuçlar karşılaştırılmıştır. Çalışmanın sonucunda seçili üç piyasaya ait ESG endeksleriyle piyasa endeksleri arasında pozitif yönde ilişkinin var olduğu, Frankfurt Menkul Kıymetler Borsası ÇSY endeksinin piyasa endeksine karşı en düşür duyarlılık seviyesine sahip olduğu tespit edilmiştir.

A Research on Türkiye, the United States, and Germany Stock Markets from the Environmental Social Governance (ESG) and Sustainability Perspective

Abstract

Environmental, Social, and Governance (ESG) practices are spreading from developed markets to other markets. This study examines the relationships between ESG indices and market indices in selected stock markets. The aim of this study is to investigate the direction and intensity of the potential effects of changes in selected stock market indices on their respective ESG indices during the period from December 2014 to December 2024. The relationships between the main indices of Borsa Istanbul, Standard & Poor’s, and the Frankfurt Stock Exchange and their ESG indices were examined for each market by estimating three different simple linear regression models, and the results of the three models were compared. As a result of the study, it was determined that there is a positive relationship between the ESG indices of the selected three markets and the market indices, and that the Frankfurt Stock Exchange's ESG index has the lowest sensitivity level to the market index.

Keywords

• Sustainability
• ESG
• Stock Markets Indices.

References

1. Ali Fatemi, M. G. (2018). ESG Performance and Firm Value: The Moderating Role of Disclosure. Global Finance Journal, 38(1), 45-64. doi:https://doi.org/10.1016/j.gfj.2017.03.001
2. Cornell, B. (2020). ESG Preferences, Risk and Return. European Financial Management, 27(1), 12-19. doi:https://doi.org/10.1111/eufm.12295
3. Cox, D. (1972). Regression Models and Life Tables. Journal of the Royal Statistical Society:, 34(1), 187-202. doi:https://doi.org/10.1111/j.2517-6161.1972.tb00899.x
4. Darren George, P. M. (2010). SPSS for Windows Step by Step: A Simple Guide and Reference, 17.0 Update. Boston: Pearson.: Allyn & Bacon.
5. Dekking, M. (2005). A Modern Introduction to Probability and Statistics: Understanding Why and How. London: Springer.
6. Dimitrios Asteriou, S. G. (2011). Applied Econometrics. New York: Palgrave Macmillan.
7. Doron Avramov, S. C. (2022). Sustainable Investing with ESG Rating Uncertainty. Journal of Financial Economics, 145(2), 642-664. doi:https://doi.org/10.1016/j.jfineco.2021.09.009
8. Emil Andersson, M. H. (2020). ESG Investment: What Do We Learn from Its Interaction with Stock, Currency and Commodity Markets? International Journal of Finance & Economics, 27(3), 1-17. doi:https://doi.org/10.1002/ijfe.2341

9. Ghulame Rubbaniy, A. A. (2022). Are ESG Stocks Safe-Haven during COVID-19? Studies in Economics and Finance, 39(2), 239-255. doi:https://doi.org/10.1108/SEF-08-2021-0320
10. Gunther Capelle-Blancard, A. P. (2017). Every Little Helps? ESG News and Stock Market Reaction. Journal of Business Ethics, 157(1), 543-565. doi:https://doi.org/10.1007/s10551-017-3667-3
11. Jan De Spiegeleer, S. H. (2021). ESG: A New Dimension in Portfolio Allocation. Journal of Sustainable Finance & Investment, 13(2), 827-867. doi:10.1080/20430795.2021.1923336
12. Javakhadze, A. B. (2017). Corporate Social Responsibility and Capital Allocation Efficiency. Journal of Corporate Finance, 43(1), 354-377. doi:https://doi.org/10.1016/j.jcorpfin.2017.01.012
13. Jiazhen Wang, X. H. (2023). Stock Market Reaction to Mandatory ESG Disclosure. Finance Research Letters, 53(1), 103402. doi:https://doi.org/10.1016/j.frl.2022.103402
14. Jingwen Feng, J. W. (2022). ESG rating and stock price crash risk: Evidence from China. Finance Research Letters, 46(B), 102476. doi:https://doi.org/10.1016/j.frl.2021.102476
15. Joseph F. Hair Jr, W. C. (2010). Multivariate Data Analysis (7th Edition). New York: Pearson.
16. Kee-Hong Bae, S. E. (2019). Does Corporate Social Responsibility Reduce the Costs of High Leverage? Evidence from Capital Structure and Product Market Interactions. Journal of Banking & Finance, 100(1), 135-150. doi:https://doi.org/10.1016/j.jbankfin.2018.11.007
17. Luo, D. (2022). ESG, Liquidity, and Stock Returns. Journal of International Financial Markets, Institutions and Money, 78(1), 101526. doi:https://doi.org/10.1016/j.intfin.2022.101526
18. Michael Kutner, C. N. (2004). Applied Linear Regression Models- 4th Edition with Student CD (McGraw Hill/Irwin Series: Operations and Decision Sciences) 4th Edition. Homewood, İllinois: McGraw Hill.
19. Mustafa Tevfik Kartal, A. S. (2023). Do Nuclear Energy and Renewable Energy Surge Environmental Quality in the United States? New Insights from novel Bootstrap Fourier Granger Causality in Quantiles Approach. Progress in Nuclear Energy, 155(1), 104509. doi:https://doi.org/10.1016/j.pnucene.2022.104509
20. Ping Li, K. W. (2023). Does The Inclusion of Chinese A-Shares in the MSCI EM Index Promote ESG Performance? Finance Research Letters, 58(B), 104444. doi:https://doi.org/10.1016/j.frl.2023.104444
21. Savva Shanaev, B. G. (2022). When ESG meets AAA: The Effect of ESG Rating Changes on Stock Returns. Finance Research Letters, 46(1), 102302. doi:https://doi.org/10.1016/j.frl.2021.102302
22. Souhir Khemir, C. B. (2019). The Influence of ESG Information on Investment Allocation Decisions: An Experimental Study in an Emerging Country. Journal of Applied Accounting Research, 20(1), 458-480. doi:10.1108/JAAR-12-2017-0141
23. Trevor Stanley Breusch, A. R. (1979). A Simple Test for Heteroskedasticity and Random Coefficient Variation. Econometrica, 47(5), 1287–1294. doi:doi:10.2307/1911963
24. Wen-Xuan Zhao, A. S.-F. (2023). Do Technological Innovation, Natural Resources and Stock Market Development Promote Environmental Sustainability? Novel Evidence Based on the Load Capacity Factor. Resources Policy, 82(1), 103397. doi:https://doi.org/10.1016/j.resourpol.2023.103397
25. Yang Gao, Y. L. (2022). Risk Spillover Analysis Across Worldwide ESG Stock Markets: New Evidence from the Frequency-Domain. The North American Journal of Economics and Finance, 59(1), 101619. doi:https://doi.org/10.1016/j.najef.2021.101619
26. Yannik Bofinger, K. J. (2022). Corporate Social Responsibility and Market Efficiency: Evidence from ESG and Misvaluation Measures. Journal of Banking & Finance, 134(1), 106322. doi:https://doi.org/10.1016/j.jbankfin.2021.106322
27. Yunus Kilic, M. A. (2022). Return and Risk Spillovers between the ESG Global Index and Stock Markets: Evidence from Time and Frequency Analysis. Borsa Istanbul Review, 22(2), 141-156. doi:https://doi.org/10.1016/j.bir.2022.11.015