Abstract
In
this study, the performance of Borsa Istanbul Sustainability Index is compared
with the benchmark index (BIST 100 index) and the period between November 4,
2014 and December 30, 2016 is investigated. In the perspective of risk-adjusted
return analysis, the Sharpe ratio for Sustainability Index is higher than BIST
100 index. Also, Jensen alpha is positive although near zero and statistically
not significant. Hence, the performance of Sustainability Index is not
systematically different from BIST 100 index. Beta value is above 1 and
statistically significant, which means that the risk of Sustainability Index is
significantly higher than BIST 100 index. According to the results for the joint
hypothesis in the context of risk and return, the financial output of
Sustainability Index is significantly different from BIST 100 index. EGARCH
(1,1) estimation results for the conditional volatility modelling of indices
demonstrate that for both indices the volatility persistence is high and
negative shocks have greater influence on the volatility than positive shocks.
These results indicate that leaving aside the investors’s personal values,
there is no financial incentives for investors in terms of financial output of
Sustainability Index. However, the response of the investors can differentiate
in time considering that the Sustainability Index is created recently, the
socially responsible investment approach is relatively new and the awareness
regarding the subject can be increased.
References
- Ang, W. R. (2015), "Sustainable Investment in Korea Does Not Catch a Cold When the United States Sneezes", Journal of Sustainable Finance & Investment, 5(1-2), 16-26.
- Borsa İstanbul (2016), BIST Sürdürülebilirlik Endeksi, <http://www.borsaistanbul.com/endeksler/bist-pay-endeksleri/surdurulebilirlik-endeksi >, 6.12.2016.
- Borsa İstanbul (2017), BIST Sürdürülebilirlik Endeksi Araştırma Metodolojisi, <http://www.borsaistanbul.com/docs/default-source/endeksler/bist-sustainability-index-research-methodology.rar?sfvrsn=8?dqeiahfihfbcvoce>, 16.01.2017.
- Brundtland, G. (1987), Report of the World Commission on Environment and Development: Our Common Future (The Brundtland Report), United Nations, <http://www.un-documents.net/our-common-future.pdf> , 15.01.2017.
- Çıtak, L. & E. Ersoy (2016), "Firmaların BIST Sürdürülebilirlik Endeksine Alınmasına Yatırımcı Tepkisi: Olay Çalışması Ve Ortalama Testleri İle Bir Analiz", Uluslararası Alanya İşletme Fakültesi Dergisi, 8(1), 43-57.
- Collison, D. J. & G. Cobb & D. M. Power & L. A. Stevenson (2008), "The Financial Performance of the FTSE4Good Indices", Corporate Social Responsibility and Environmental Management, 15(1), 14-28.
- DJSI (2017), DJSI Family, <http://www.sustainability-indices.com/index-family-overview/djsi-family-overview/index.jsp>, 19.01.2017.
- Escrig‐Olmedo, E. & M. J. Muñoz‐Torres & M. Á Fernández‐Izquierdo (2013), "Sustainable Development and the Financial System: Society's Perceptions About Socially Responsible Investing", Business Strategy and the Environment, 22(6), 410-428.
- FTSE (2017), FTSE4Good Index Series, <http://www.ftse.com/products/downloads/FTSE4Good-brochure.pdf>, 19.01.2017.
- Global Reporting Initiative (2006), Sustainability Reporting Guidelines, <https://www.globalreporting.org/resourcelibrary/G3-Guidelines-Incl-Technical-Protocol.pdf>, 15.01.2017.
- Jensen, M. C. (1968), "The Performance of Mutual Funds in the Period 1945–1964", Journal of Finance, 23(2), 389-416.
- Kalev, P. S. & D. Wallace (2012), “Performance of Socially Responsible Investment Funds” in S. Jones & J. Ratnatunga (eds.), Contemporary Issues in Sustainability Accounting, Assurance and Reporting, Bingley, GBR: Emerald Group Publishing, 43-69.
- Kurtz, L. & D. diBartolomeo (1996), "Socially Screened Portfolios An Attribution Analysis of Relative Performance", The Journal of Investing, 5(3), 35-41.
- Luck, C. G. & N. Pilotte (1993), "Domini Social Index Performance", The Journal of Investing, 2(3), 60-62.
- Nelson, D. B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach", Econometrica, 59(2), 347–370.
- Ortas, E. & J. M. Moneva & M. Salvador (2010), "Conditional Volatility in Sustainable and Traditional Stock Exchange Indexes: Analysis of the Spanish Market", Journal of Globalization, Competitiveness and Governability, Georgetown University–Universia, 4(2), 104-129.
- Ortas, E. & J. M. Moneva & M. Salvador (2012), "Does Socially Responsible Investment Equity Indexes in Emerging Markets Pay Off? Evidence from Brazil", Emerging Markets Review, 13(4), 581-597.
- Ortas, E. & J. M. Moneva & M. Salvador (2014), "Do Social and Environmental Screens Influence Ethical Portfolio Performance? Evidence from Europe", BRQ Business Research Quarterly, 17(1), 11-21.
- Roca, L. C. & C. Searcy (2012), "An Analysis of Indicators Disclosed in Corporate Sustainability Reports", Journal of Cleaner Production, 20(1), 103-118.
- Sauer, D. A. (1997), "The Impact of Social-Responsibility Screens on Investment Performance: Evidence from the Domini 400 Social Index and Domini Equity Mutual Fund", Review of Financial Economics, 6(2), 137-149.
- Scholtens, B. (2009), "Corporate Social Responsibility in the International Banking Industry", Journal of Business Ethics, 86(2), 159-175.
- Schröder, M. (2007), "Is there a Difference? The Performance Characteristics of SRI Equity Indices", Journal of Business Finance & Accounting, 34(1), 331–348.
- Sharpe, W. (1966), "Mutual Fund Performance", Journal of Business, 39(1), 119-138.
- SocialFunds (2016), Social Funds, <http://www.socialfunds.com/funds/chart.cgi?sfChartId=desc>, 6.12.2016 .
- Statman, M. (2000), "Socially Responsible Mutual Funds", Financial Analysts Journal, 56(3), 30-39.
- Statman, M. (2006), "Socially Responsible Indexes: Composition, Performance, and Tracking error", Journal of Portfolio Management, 32(3), 100-109.
- Sudha, S. (2015), "Risk-return and Volatility analysis of Sustainability Index in India", Environment, Development and Sustainability, 17(6), 1329–1342.
- US SIF (2016), SRI Basics, <http://www.ussif.org/sribasics> , 6.12.2016.
- Yanık, S. & B. T. Içke & Y. Aytürk (2010), "Sosyal Sorumlu Yatirim Fonlari ve Performans Özellikleri", İ.Ü. Siyasal Bilgiler Fakültesi Dergisi (43), 109-134.
- Young, S. & S. Gates (2013), “Institutional Investors’ Power to Change Corporate Behavior: An Introduction”, in S. Young & S. Gates (eds.), Critical Studies on Corporate Responsibility, Governance and Sustainability, Volume 5: Institutional Investors’ Power to Change Corporate Behavior: International Perspectives, Bradford, GBR: Emerald Group Publishing Limited, 3-16.
Abstract
Borsa İstanbul Sürdürülebilirlik
Endeksi’nin performansının kıyaslama endeksinin (BIST 100) performansı ile
karşılaştırıldığı çalışmada, 4 Kasım 2014 ile 30 Aralık 2016 arası dönem
araştırılmıştır. Risk ayarlı getiri analizi perspektifinde, Sharpe rasyosu
Sürdürülebilirlik Endeksi için BIST 100 endeksinden daha yüksektir. Yine,
Jensen alfası pozitiftir, ancak sıfıra yakın olup istatistiksel olarak anlamlı
değildir. Dolayısıyla, Sürdürülebilirlik Endeksi’nin performansı BIST 100
endeksinden sistematik bir şekilde farklılaşmamaktadır. Beta değeri ise 1’in
üzerinde ve istatistiksel olarak anlamlıdır ki bu Sürdürülebilirlik Endeksi’nin
riskinin BIST 100 endeksinden anlamlı bir şekilde yüksek olduğu anlamına
gelmektedir. Hem risk hem getiri bağlamında, ortak hipotez test sonucuna göre
ise, Sürdürülebilirlik Endeksi’nin finansal çıktısı, BIST 100 endeksinden
anlamlı bir şekilde farklılaşmaktadır. Endekslerin koşullu volatilite
modellemeleri için gerçekleştirilen EGARCH (1,1) tahmin sonuçları ise her iki
endeksin de volatilite kalıcılığının yüksek olduğunu ve negatif şokların volatilite
üzerinde pozitif şoklardan daha yüksek bir etkiye sahip bulunduğunu
göstermektedir. Bu bulgular, yatırımcının kişisel değerleri bir kenara
bırakıldığında, Sürdürülebilirlik Endeksi’nin yatırımcılar için finansal çıktı
itibariyle finansal bir teşvik ediciye sahip olmadığına işaret etmektedir. Ancak,
Sürdürülebilirlik Endeksi’nin yakın zamanlarda hesaplanmaya başlaması ve sosyal
sorumlu yatırım yaklaşımının yeni olup, konuya dair farkındalığın artabilecek
olması göz önünde bulundurulduğunda, yatırımcıların tepkileri zaman içerisinde
farklılaşabilir.
References
- Ang, W. R. (2015), "Sustainable Investment in Korea Does Not Catch a Cold When the United States Sneezes", Journal of Sustainable Finance & Investment, 5(1-2), 16-26.
- Borsa İstanbul (2016), BIST Sürdürülebilirlik Endeksi, <http://www.borsaistanbul.com/endeksler/bist-pay-endeksleri/surdurulebilirlik-endeksi >, 6.12.2016.
- Borsa İstanbul (2017), BIST Sürdürülebilirlik Endeksi Araştırma Metodolojisi, <http://www.borsaistanbul.com/docs/default-source/endeksler/bist-sustainability-index-research-methodology.rar?sfvrsn=8?dqeiahfihfbcvoce>, 16.01.2017.
- Brundtland, G. (1987), Report of the World Commission on Environment and Development: Our Common Future (The Brundtland Report), United Nations, <http://www.un-documents.net/our-common-future.pdf> , 15.01.2017.
- Çıtak, L. & E. Ersoy (2016), "Firmaların BIST Sürdürülebilirlik Endeksine Alınmasına Yatırımcı Tepkisi: Olay Çalışması Ve Ortalama Testleri İle Bir Analiz", Uluslararası Alanya İşletme Fakültesi Dergisi, 8(1), 43-57.
- Collison, D. J. & G. Cobb & D. M. Power & L. A. Stevenson (2008), "The Financial Performance of the FTSE4Good Indices", Corporate Social Responsibility and Environmental Management, 15(1), 14-28.
- DJSI (2017), DJSI Family, <http://www.sustainability-indices.com/index-family-overview/djsi-family-overview/index.jsp>, 19.01.2017.
- Escrig‐Olmedo, E. & M. J. Muñoz‐Torres & M. Á Fernández‐Izquierdo (2013), "Sustainable Development and the Financial System: Society's Perceptions About Socially Responsible Investing", Business Strategy and the Environment, 22(6), 410-428.
- FTSE (2017), FTSE4Good Index Series, <http://www.ftse.com/products/downloads/FTSE4Good-brochure.pdf>, 19.01.2017.
- Global Reporting Initiative (2006), Sustainability Reporting Guidelines, <https://www.globalreporting.org/resourcelibrary/G3-Guidelines-Incl-Technical-Protocol.pdf>, 15.01.2017.
- Jensen, M. C. (1968), "The Performance of Mutual Funds in the Period 1945–1964", Journal of Finance, 23(2), 389-416.
- Kalev, P. S. & D. Wallace (2012), “Performance of Socially Responsible Investment Funds” in S. Jones & J. Ratnatunga (eds.), Contemporary Issues in Sustainability Accounting, Assurance and Reporting, Bingley, GBR: Emerald Group Publishing, 43-69.
- Kurtz, L. & D. diBartolomeo (1996), "Socially Screened Portfolios An Attribution Analysis of Relative Performance", The Journal of Investing, 5(3), 35-41.
- Luck, C. G. & N. Pilotte (1993), "Domini Social Index Performance", The Journal of Investing, 2(3), 60-62.
- Nelson, D. B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach", Econometrica, 59(2), 347–370.
- Ortas, E. & J. M. Moneva & M. Salvador (2010), "Conditional Volatility in Sustainable and Traditional Stock Exchange Indexes: Analysis of the Spanish Market", Journal of Globalization, Competitiveness and Governability, Georgetown University–Universia, 4(2), 104-129.
- Ortas, E. & J. M. Moneva & M. Salvador (2012), "Does Socially Responsible Investment Equity Indexes in Emerging Markets Pay Off? Evidence from Brazil", Emerging Markets Review, 13(4), 581-597.
- Ortas, E. & J. M. Moneva & M. Salvador (2014), "Do Social and Environmental Screens Influence Ethical Portfolio Performance? Evidence from Europe", BRQ Business Research Quarterly, 17(1), 11-21.
- Roca, L. C. & C. Searcy (2012), "An Analysis of Indicators Disclosed in Corporate Sustainability Reports", Journal of Cleaner Production, 20(1), 103-118.
- Sauer, D. A. (1997), "The Impact of Social-Responsibility Screens on Investment Performance: Evidence from the Domini 400 Social Index and Domini Equity Mutual Fund", Review of Financial Economics, 6(2), 137-149.
- Scholtens, B. (2009), "Corporate Social Responsibility in the International Banking Industry", Journal of Business Ethics, 86(2), 159-175.
- Schröder, M. (2007), "Is there a Difference? The Performance Characteristics of SRI Equity Indices", Journal of Business Finance & Accounting, 34(1), 331–348.
- Sharpe, W. (1966), "Mutual Fund Performance", Journal of Business, 39(1), 119-138.
- SocialFunds (2016), Social Funds, <http://www.socialfunds.com/funds/chart.cgi?sfChartId=desc>, 6.12.2016 .
- Statman, M. (2000), "Socially Responsible Mutual Funds", Financial Analysts Journal, 56(3), 30-39.
- Statman, M. (2006), "Socially Responsible Indexes: Composition, Performance, and Tracking error", Journal of Portfolio Management, 32(3), 100-109.
- Sudha, S. (2015), "Risk-return and Volatility analysis of Sustainability Index in India", Environment, Development and Sustainability, 17(6), 1329–1342.
- US SIF (2016), SRI Basics, <http://www.ussif.org/sribasics> , 6.12.2016.
- Yanık, S. & B. T. Içke & Y. Aytürk (2010), "Sosyal Sorumlu Yatirim Fonlari ve Performans Özellikleri", İ.Ü. Siyasal Bilgiler Fakültesi Dergisi (43), 109-134.
- Young, S. & S. Gates (2013), “Institutional Investors’ Power to Change Corporate Behavior: An Introduction”, in S. Young & S. Gates (eds.), Critical Studies on Corporate Responsibility, Governance and Sustainability, Volume 5: Institutional Investors’ Power to Change Corporate Behavior: International Perspectives, Bradford, GBR: Emerald Group Publishing Limited, 3-16.
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | October 31, 2017 |
| Submission Date | February 8, 2017 |
| Published in Issue | Year 2017 Volume: 25 Issue: 34 |
