BRENT PETROL FİYATLARI VE BIST SÜRDÜRÜLEBİLİRLİK ENDEKSİ ARASINDAKİ RİSK VE DİNAMİK BAĞLANTILILIK ANALİZİ

Öz

Bu çalışmada Brent Petrol fiyatları ile Borsa İstanbul Sürdürülebilirlik Endeksi arasındaki risk ve dinamik bağlantılılığı incelenmektedir. Enerji fiyatlarındaki dalgalanmalar, makroekonomik dengelerden yatırımcı davranışlarına kadar geniş alanda etkiler yaratırken, sürdürülebilirlik endeksleri çevresel, sosyal ve yönetişim (ESG) kriterlerini temel alarak uzun vadeli risk-getiri perspektifinde önem kazanmaktadır. Çalışmada, zamanla değişen parametreli vektör otoregresyon (TVP-VAR) modeli kullanılarak Gabauer ve Yılmaz’ın geliştirdiği dinamik bağlantısallık (dynamic connectedness) yöntemi analizde kullanılmıştır. Analizler sonucunda hem yönlü hem de büyüklük açısından risk bulaşmalarının zamana göre değişen yapısı ayrıntılı biçimde ortaya konulmaktadır. Brent petrol fiyatları ile BIST Sürdürülebilirlik Endeksi arasındaki etkileşimlerin kriz dönemlerinde güçlendiği, enerji fiyat şoklarının sürdürülebilir yatırımlar üzerindeki risk aktarım kanallarını belirginleştirdiği gözlemlenmiştir. Elde edilen bulgular, portföy çeşitlendirme, risk yönetimi ve sürdürülebilir finans stratejileri bakımından önemli çıkarımlar sunmaktadır.

Anahtar Kelimeler

• Brent Petrol Fiyatları
• BIST Sürdürülebilirlik Endeksi
• Kantil-Kantil Regresyon
• Dinamik Bağlantısallık

DYNAMIC CONNECTEDNESS AND RISK SPILLOVERS BETWEEN BRENT OIL PRICES AND THE BIST-100 SUSTAINABILITY INDEX

Öz

This study examines the risk and dynamic connectedness between Brent crude oil prices and the Borsa Istanbul (BIST) Sustainability Index. While fluctuations in energy prices create wide-ranging effects from macroeconomic balances to investor behavior, sustainability indices—grounded in environmental, social, and governance (ESG) criteria—have become increasingly significant within the long-term risk–return framework. The analysis employs the time-varying parameter vector autoregression (TVP-VAR) model, incorporating the dynamic connectedness approach developed by Gabauer and Yilmaz. The findings reveal in detail the time-varying structure of risk spillovers in terms of both direction and magnitude. The results indicate that the interactions between Brent oil prices and the BIST Sustainability Index intensify during periods of crisis, with oil price shocks amplifying risk transmission channels to sustainable investments. These outcomes provide important implications to portfolio diversification, risk management, and sustainable finance strategies.

Anahtar Kelimeler

• Brent Crude Oil prices
• BIST Sustainability Index
• Quantile-Quantile Regression
• Dynamic Connectedness

Kaynakça

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