The Analysis of the Relationship Among Climate Policy Uncertainty, Logistic Firm Stock Returns and ESG Scores: Evidence from the TVP-VAR Model

Year 2023, Volume: 13 Issue: 2, 42 - 59, 28.12.2023

Fatma Gül Altın , Samet Gürsoy , Mesut Doğan , Enes Burak Ergüney

Abstract

This study examines the relationship between climate policy uncertainty (CPU), China's environmental impact, social responsibility and corporate governance practices (ESG) leader scores and logistics stocks. China Ocean Shipping Company (COSCO), one of the pioneers in global markets, was chosen to represent the logistics industry. The variables were analyzed with the Time-Varying Parameter Vector Autoregressive Model (TVP-VAR) using monthly data from October 2007 to July 2022. As a result of the analysis, it was determined that the COSCO logistics sector variable spreads the volatility to the Chinese ESG Leaders and CPU variables. This indicates that COSCO, one of the leading companies in the global markets, has an impact on the sustainability scores of the CHINA Stock Exchange. In other words, it has been observed that shock transfer occurs from the COSCO variable to the China ESG Leader and CPU variables. Finally, it proves that the sustainability scores of companies operating in the Logistics sector, especially for China, are dominant among all other sector scores.

Keywords

Climate Policy Uncertainty, ESG, Logistics Sector, COSCO

İklim Politikası Belirsizliği, Lojistik Firma Hisse Getirileri ve ESG Puanları Arasındaki İlişkisinin Analizi: TVP-VAR Modelinden Kanıtlar

Abstract

Bu çalışma iklim politikası belirsizliği (CPU), ESG skorları ve lojistik hisse getirileri arasındaki ilişkiyi incelemektedir. Lojistik sektörünü temsilen China Ocean Shipping Company (COSCO) seçilmiştir. Ekim 2007-Temmuz 2022 döneminin aylık verileri kullanılarak Zamanla Değişen Parametre Vektörü Otoregresif Modeli (TVP-VAR) uygulanmıştır. Analiz sonucunda COSCO`nun volatiliteyi Çin ESG ve CPU`ya yaydığı tespit edilmiştir. Bu durum küresel piyasalarda öncü firmalardan olan COSCO`nun Çin Borsasının sürdürülebilirlik skorları üzerinde etkili olduğunu işaret etmektedir. Başka bir ifadeyle, COSCO değişkeninden Çin ESG skorları ve CPU değişkenlerine şok aktarımı gerçekleştirdiği görülmüştür. Son olarak, özellikle Çin için Lojistik sektöründe faaliyet gösteren firmaların sürdürülebilirlik skorlarının tüm diğer sektör skorları içinde de baskın olduğunu kanıtlar niteliktedir.

Keywords

İklim Politika Belirsizliği, ESG, Lojistik Sektörü, COSCO

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